If I may engage in some armchair-psychology....
I think there's something very tempting about playing the villain in a kind of odd wish-fullfillment sort of way.
For a personal example: I do really like sushi. And there is a pretty good sushi place here. But it's also a bit price-y. So I do find myself occasionally in the situation, that the desire-driven, egoistic part of me says: "I want sushi. Now!" and the reasonable, kind and moral part of me says: "We can't afford sushi right now. And not paying people for their hard, skilled labour is morally wrong and not paying your restaurant-bills is frowned upon in our society." Usually, because contrary to my name, I'm actually a good bunny, the reasonable part wins. Obviously that doesn't cause me some great anguish, but it's annoying. And life is full of these little annoyances, that cause the egocentric part of ourselves to sulk.
Now, if I were a super-villain, I could just kidnap the staff of that sushi-place and have that tasty raw fish served to me on the tied-up, naked body of that crush I'm too shy to talk to, whenever I damn well please. Which is a tempting fantasy.
Obviously I wouldn't actually want to do that, because as stated above, I do have things like "empathy" and "a moral compass". But it's fun and a bit liberating to occasionally pretend, as if that weren't the case.
As weird as it sounds, being evil is mostly just the purest form of self-care. Doing something that is nice for yourself, without any consideration for anyone or anything else. Light some scented candles and take a nice relaxing bath in the blood of your enemies.
Villains do have some generally admirable qualities, turned up to a harmful degree. They're confident. The evil warlord never stops to ponder, if burning down villages and slaughtering peasants is morally justifiable or a sound economic strategy. They're also powerful, because for a story to work and have proper tension, the villain needs to be at least a bit more powerful than the hero. And while the hero has to gain the strength to defeat the villain by virtue of exciting quests, hard training or the power of friendship, the villain just has/takes their power.
In conclusion: I think a small part of us kinda wants to be the bad guy. Stop worrying, kidnap that sushi-chef and not give a damn about anyone else. And I think having that part is both normal and healthy. As long as you also have that other part, that keeps you from burning down your neighbour's house, no matter how annoying they are.
That'ss obviously not the only thing that makes villains interesting to play, but I think it's a not-insignificant part of it.