When you look at MMOs like World of Warcraft, Warhammer Online, and Aion*, you'll find that the "good guys" are usually the most popular. The primary conflicts in these games are between Alliance vs. Horde, Order vs. Destruction, and Elyos vs. Asmodian and it seems that more people choose to play on the side of good than evil. That "evil" is actually more of a "misunderstood" in two out of the three games I mentioned, yet the perception seems to stick.
Is it because we were all raised on fairy tales that hammered strong values and good morals into our heads? Maybe it's because the general trend in storytelling predominantly focuses on heroes of virtue? There are even stories about anti-heroes. Flawed though they may be, these protagonists still manage to absolve themselves of their sins and save the day most of the time.
I usually choose to play the villain in MMOs because I see them as the underdog. It isn't something I consciously think about but maybe there's part of me that wants to see the bad guy shine for a change. That doesn't mean I root for the latest serial killer on the nightly news, but in a fantasy world I want to escape from my normal role as a model citizen and cause a little mayhem in a place that doesn't hurt anyone.
* Aion Korea, where the game is actually released.