Suppose that Frodo puts on the ring and becomes "corrupted" - eventually becoming like Gollum! The king does not return, rather Aragorn, Gimli, Legolas, Gandalf, Merry and Pippin all die at the black gates along with the hope of all the free peoples. The scouring of the shire goes unchecked, and the shadow falls across all of Middle-earth... what kind of story would that be?
Most of the fantastic fiction that I read features a protagonist, or several, who work against evil. They play the part of heroes. This inspires me to want to play "the hero" in my own fantasy fiction/ roleplaying. We all play games for different reasons, and there is usually an element of discovery to most role-playing and even playing at "evil" (however one defines that) can lead each of us to certain useful realizations about ourselves, or the nature of the "real" world in which we live.
As a referee, I like to present the players at our table with a setting or world under attack from an "evil" force that threatens and imperils others. This gives them a chance to play the part of heroes!
More often than not, it has been my experience that playing an evil character can be non-rewarding. One evil PC will be tempted to turn against their fellows. A party of evil doers will usually devolve into a free-for-all as they all turn to self-serving interest and likely homicide. Occasionally, it can be interesting to explore the grey areas where good and evil are poorly defined, but this practice can become unsettling in a game setting as well. Games are played mostly for entertainment value and becoming troubled or unsettled as a part of "play" seems counter-productive, especially if it happens very often.
A nice abstract, fictional and external "evil" is a more comfortable enemy. Defeating the "big bad" and playing the part of the hero who saves the day - to much positive accolade - is why many of us enjoy playing RPGs. I can definitely see some reasons to role-play the villains as well, especially as an alternative after playing the heroes many times. Or perhaps as a one-off or short pre-campaign one might invite the players flesh out the future villains through their role-play, perhaps as a set-up for later taking the role of defeating those same villains. This was suggested to me and could be quite interesting.
On the other hand...
I find little appeal in the idea of playing the evil "mythos" cultist, one who strives to usher in the "old ones" just so they can watch them devour the world - my character included. But ultimately, who can say? I have actually never tried it. I have, however, played many a fang-faced goblin as they try to kill the heroic adventurers who are invading their "evil hand" goblin lair - what referee hasn't?
And tell me that isn't fun...