One of the things about liking villainous characters is that often we feel it is safe to like them because we know that in a film/book they're going to get their comeuppance eventually - it's relatively rare for a villian to win out in the end.
Some of it may be that a villian can do the things we'd quite like to do, not all of them of course but as Henry Louis Mencken said "Every normal man must be tempted at times to spit on his hands, hoist the black flag, and begin to slit throats". There's something appealing about the idea of disregarding moral and legal codes and just doing what you feel like - effectively being a law unto yourself.
As Zefan mentions the power is another factor - these are often strong and charismatic characters we are talking about, natural leaders who might inspire fear, perhaps respect but usually captivating personalities.