I'm a sucker for female antagonists, for some strange reason. I'm sure Freud would have had something to say about that. I don't like nasty or "bad" girls in real life, but for some reason when they're villains in a video-game, book, TV show or movie I always end up liking them more than the protagonists, no matter how obnoxious they may or may not be.
Also, games where you play as the villain. I'm not sure why, but I have never once disliked a game where that was possible, and several of my favourite games of all time are played from the perspective of the bad guy (or at least have it as an option, which I inevitably choose). Dungeon Keeper, Overlord, Fable, KOTOR, Black & White and Evil Genius are all prime examples.