I'm torn on this. While I prefer to run heroic tales with heroic characters, I can see the draw to play the badguy. There are plenty of tales where the evil person is the protagonist (punisher, dexter, dusk til dawn, etc..) and when done right it can be very effective.
However, I don't care for the "eeeeevil" character at all. The guy who's a sociopath, mass murderer for the sake of it, clerics of the really really evil gods (vecna, bane). To me, those characters are the worst of the evils. If he has no redeeming qualities and his evil isn't even a necessary evil, then I don't want to run that character.
Really it depends on how you spin it; I don't think Vecna or Bane are evil for evil's sake without any redeeming qualities. It just depends on the circumstances.
For instance, Bane is the god of Tyranny. Well, Tyranny - despite being despicable and horrible - can be the lesser of two evils. If a region is swept in chaos, warlords and tribal violence, one tyrant can come in, flatten it under a boothill, and keep all the unstable factions in check. "Order by any means necessary" is rather nasty, but the alternative can be worse. It comes down to which you prioritize more, and the opposition (and the terms of the tyrant).
I actually think Vecna isn't that bad of an evil god (but then, I love Undead). Besides, Undeath is certainly in the portfolio, but you can play with that some. Perhaps certain Vecna priests are about
curtailing the population of uncontrollable undead; free-spawning wraiths are reckless pests, etc. Also, Vecna is the God of Secrets; that isn't just collecting secrets, but
protecting them; keeping the scroll of Hastur under wraps sounds like a job for Vecna!
[sblock=Tangent]I also generally dislike the argument that Undead are just Evil by nature. The 3e assumption is that Negative energy is bad (because it just Is) and since Undead are powered by negative energy, they therefore are bad. I find the 'Negative Energy = Evil' a cop-out, among other things, and it just doesn't jive with me at all.[/sblock]
The only real annoying god you have to deal with is those of Slaughter. Although, with the right spin, you can certainly say that the God fo Slaughter is for the death of the inferior, the weak. Thus, they're Darwinians with Swords.