It's fun playing the bad guy; I really enjoy it, but it takes a long time to get me into that character in some games. I love dismembering people in games and such, it's fun. Hell; in Gears of War 2, I crippled two people just to see them crawl away (I took it as a race and killed the loser first).
If given a game with moral choices, I will always be naturally a good character. I can't be bad unless there are no consequences (or I'm about to save my game and I have a town full of people--Fallout 3, Morrowind or Oblivion).