Catharsis. The joy of acting out. The fun of temporarily --and fictionally-- acting outside the bounds of ethical society. Operating on pure id for a few hours a week/month in a completely safe game-space.
Look how much money the makers of the Grand Theft Auto series made by offering players that kind of experience (though, arguably, it was as much the structure as the antisocial content of those games that appealed to people).
Or consider the success of gangster movies/fiction, where the audience is meant to indentify with a crimimal protagonist and thrill to their exploits as much as they're suppose to cheer when the character is eventually brought to justice.
Besides, most PC's, regardless of alignment, are essential amoral, homicidal maniacs (and graverobbers to boot), so acting outside the scope of conventional morality is part a parcel with the core game experience.
