I want to play as a combine soldier in a squad of other combine soldiers trying to keep those damn rebels under control, or fleeing a soon to be destroyed city 17. (While trying to keep those damn rebels under control.)
I usually find myself trying to stay balancedm, playing each one equally, it really depends on the game though (it's easier to play a fun evil character in a game like fallout)
I don't believe I've actually come across a game with an actively evil character.
Hitman allows you to be evil, but given the nature of the game that's a given. Black & White allowed good and evil actions, however the evil aspect was more a case of not doing good rather than actively doing evil. (Think not saving a drowning a person as opposed to drowning an onlooker to said incident, now that's evil.)
There's a new game going by the name of Overlord that appears to cater entirely towards evil actions, however, like dungeon keeper, it's tempered heavily by humerous minions. An honourable mention should also go to IO Interactive's Kane and Lynch, although these characters have rather ambiguous back stories.
I like to play a character who's more good than bad, but I'd probably lean to the neutral party. You might not be bad in the sense that you side with the crazy genocidal alien race, but that doesn't stop you from being an arrogant dick.