KneeTheCap: I don't mean RPG's that allow you to do evil deeds but still save the world, but games where you're the evil one.
... Overlord,
Don't mean to give spoilers, but Overlord basically does have you saving the world from villains worse than yourself. Most of the "evil" moral choice options are just you doing what the local villain was going to do anyway. If you take even a handful of the "good" decision paths, you'll basically end up being a hero who just happens to like the "Sauron" look.
Anyways, yes, games where you play an actual villain rather than just an anti-hero tend to be very uncommon.