There was a time when I thought playing "evil" characters was kinda morally suspect. That was mostly back in high school. These days, I tend to wonder more about those who flat-out won't do it.
Playing an evil character is an opportunity to learn a little more about yourself and your own actual limits-- and a way to learn how you, personally, go about rocking your conscience to sleep. That's a helpful thing to know.
A couple of odd traits of my own conscience:
1. if I can intellectually form a philosophy to justify a course of action, I can use the resulting reasoning to bypass most moral concerns-- unless things get personal. Because I can do this in real life, I know to watch for it.
2. sneaky badassery appeals. If something involves using stealth and cunning (physical, as in burglary, more than social, as in confidence games) to gain a particular end, it's sufficiently up my alley that the "right and wrong" of it kinda goes out the window. Shhh! Don't talk to me about morals; I'm too busy being clever!
3. righteous anger is a whole continuum of moral justifications unto itself. Big surprise, right? If I feel wronged by someone, I can justify all manner of vengeance in my mind. Interesting note: this does not, in my case, extend to "using" third parties; for me, the revenge impulse is always strictly personal. Harming innocents to get to my target is never "okay" for me, even in a fictional context. On the other hand, shooting an arrogant, insulting son-of-a-bitch in the head at point-blank range just for being an arrogant, insulting son-of-a-bitch is much, much too easy. Again, something to watch for.
Now, it's not as though I'm actually going to pull out a silenced pistol and pop a round in the skull of the next person who's an asshole to me, but the fact that I can justify high-handed retaliation without my conscience screaming "NO!" at just that moment is a warning signal; my instincts are not wholly trustworthy in this area. Knowing that this is the case is important: it makes it much easier for me to avoid being a vindictive, self-righteous bastard in real life.
This brings me to the reason I worry a little about people who won't take their dark side out for a walk: I know my "real" borders, and I know how I go about disarming my moral qualms, so I can keep an introspective eye on myself and hopefully catch myself when I start walking down one of those paths.
So the worry is, how do those who can't bring themselves to face their own darker impulses know what to look for?
GWB, once, when confronted about the U.S. using methods of interrogation we've historically prosecuted people as war criminals for using (e.g., waterboarding), got a kind of stunned look on his face and said, "The United States doesn't torture people." I seem to recall he said it two or three times in a row: "The United States doesn't torture people."
Torture = a bad thing. The U.S. gov't under Bush = good people. Good people don't do bad things. Ergo, the U.S. doesn't torture people. We don't, even if we're doing things that we have ourselves historically treated as torture. We're good, so it's impossible for us to be doing wrong. That's the logic here. Unsettling, no?
Compare this to the woman we'll call Lilly I used to game with who absolutely refused to play or run anything even a little on the dark side. Lilly sat in on one of my darker games, which centered on the characters' internal conflicts between duty, loyalty, and belief in serving the greater good and the demands of serving on a black ops team beneath a dangerous and possibly corrupt superior. In this particular session, a few of the PC's came in contact with an otherwise minor criminal who posed a genuine threat to their boss.
They were ordered to take said NPC out and execute her. They complied.
Lilly was absolutely appalled-- not at the morality of the characters, but at the players for playing characters who would do such a thing (however bad they might feel about it) and at me for running a game involving such characters and such decisions. She just couldn't see how this was in any way even comprehensible.
Lilly and her husband are themselves very much the sort to believe the absolute worst possible of a housemate who might or might not owe them a couple hundred bucks. They won't hear a single word in her defense. Not one. They're right. She's wrong. That's all there is to it. And because they can't conceive of themselves doing anything wrong, they won't entertain the possibility that they just might have self-justified their way into doing someone an injustice.
So, yes, I do worry a little.