I used to be evil in games, untill Postal 2. I just felt so sickened by what I was doing, it was so obivously... wrong.
Now I always like to play through as the good guy first - but not a a ridiculous sense (unless I have no choice). To be honest, my villains aren't outright sadistic crazy people, more selfish misanthropes who don't suffer fools.
*edit* Let's turn to Bruce for some wisdom
"I got God on my side
And I'm just trying to survive
What if what you do to survive
Kills the things you love
Fear's a powerful thing, baby
It can turn your heart black you can trust
It'll take your God filled soul
And fill it with devils and dust"
Thanks Boss.