Yoleen Lucas said a lot of bad guys get more complexity than good guys. I agree with that answer. Often a movie’s plot’s quality is determined by the bad guy’s character. And these bad guys can become very attractive to us because we can observe them from a distance, knowing what we’re seeing is not real.
For example, Heath Ledger’s Joker; you can’t say it isn’t a freaking awesome performance by an actor (and that’s what it is - a performance, by an actor, nothing more). And it’s such a masterful performance and such a fascinating character that it becomes something enjoyable to watch (not that your perception of him is altered, he is a murdering sociopath but you don’t fear him, you’re thrilled, waiting to see what he’ll do next).
That’s why movies and books and the like are an ideal medium to represent and explore these kinds of things that we handle differently in the real world (villains and other stuff too like social issues, politics, etc.) and deal with them. Comedy is a good filter for it too.
On the other hand, would that perspective you get on the Joker while watching the movie be the same if he was real and you were face to face with him? Fudge no! nop, nope, no thank you.