The Adventure "Ceville" has an evil protagonist. It's an adventure with riddles, though.
I didn't play it through yet, because then the riddles were too hard for my brain.
From a certain point of view, one could see Blizzard's first Action-RPG as "playing evil" as well, because countless monsters are massacred ...
Personally, I see this as a HEAVY flaw / failure in story building to games with nothing but killing. That's why I say to most action games (RPGs as well) "killing games" these days.