I do have a real problem playing evil characters in most RPGs. On my second play through Fallout 3, I did manage to waver along on the evil side of neutral for most of the game, but it was a highly unsatisfying experience.
In Baldur's Gate 2, I have sided with Bodhi on a couple of run-throughs, but only because of the out-of-game knowledge that it works out for the best in the long run, breaking two evil factions' hold on the city instead of just one.
I've never managed to play evil in Planescape: Torment - the game just makes it too personal. Simply reading through some of the occasions your character experiences the memories of his "Practical" incarnation is chilling enough - especially the memory orb experieince where you see his interaction with Deionarra from both perspectives simultaneously. That scene is so well written, it still disturbs me just thinking about it.
I am getting seriously annoyed with Morrigan in Dragon Age. She's far and away the most useful character in the party - wizardly crowd-control makes a huge difference, at least for my playing style - but I've given up talking to her.