I generally don't like it when players create evil characters in a heroic-style campaign. Having to justify a group of heroes running around with what might be a knife-wielding psychopath is one of the best ways to ruin a game for me. That said, on rare occasions I have seen it done well. I don't really mind an evil character, so long as they act with restraint around their good-aligned allies. I'm happy so long as I don't have to metagame a justification for my good character to run around with an evil one.
For example, in one (heavily house-ruled 3.5) game I was playing a benevolent doctor, the sort of guy who was innocent enough to give anyone and everyone the benefit of the doubt. A friend of mine played a pet class character, but his character's schtick was that he beat his pets into submission. While he was away from the party, he found a giant rat and beat it into obeying him, then returned to the party and explained how he had rescued this poor little rat from a life of abuse. I never had a problem with it, because while I was aware of his evil escapades out-of-character, he was very careful to keep us completely oblivious in-character. As far as the party was aware, he was a stand up guy!
Compare that to the psychotic alterna-Paladin who enjoyed torturing his enemies and stringing their intestines up in trees for decoration. (The rest of the party was both good-aligned and relatively well adjusted.) Hated that guy, and was very glad when his schedule finally changed so that he couldn't make it to game.
While I don't generally care to run them, I enjoy playing in a good evil campaign. By good, I mean a campaign that is intended from the beginning to be for evil characters, isn't too "cartoony" in it's approach to evil, and gives the party a reason to stay loyal to each other (whether because they have a Dark Lord to answer to, or just because the whole world is against them). It can definitely be a fun change of pace to play the antagonists of a campaign world.
In an evil campaign I enjoyed, we were playing intelligent undead and giant insect in a world overrun by unintelligent undead (who would eat anything, including us). Humans were an endangered species, but unfortunately many of the intelligent undead had dietary requirements that could only be met by living humans. In this campaign, we were constantly trying to find enough to eat while foiling the attempts of the mindless hordes. We'd use tactics that we wouldn't typically attempt in a heroic campaign; luring a horde over to a group of survivors too large for us to normally take on, then picking off the stragglers after our two enemies had thinned each others' ranks.
I hate getting a vibe off of someone, that they're role playing some twisted fantasy of theirs in game. That's just creepy, and nothing ruins an evil campaign faster for me. Thankfully, such incidences have been rare in my experience, but I've heard of more.
When done wrong, I've found that evil campaigns tend to crash and burn rather soon after takeoff. Done right, evil campaigns can encourage creativity bereft of the constraints of morality (and they're a lot of fun). Typically, what I've found makes that difference is how well-adjusted/mature all of the people at the table are. IMO, evil campaigns really underscore just how easily one bad apple can ruin a bunch.