Saints Row The Third and Saints Row IV (the PC port of the 2nd game is not recommended, but might be fun on a console): You can choose the sex and completely customize the looks of "The Boss", your playable character and gang leader whose favorite passtime is destruction. The hilarious thing is that you will always be treated as the popular hero of the game, even though you destroy everything in your path. (EDIT: Already suggested by Fever_Discordia, I see.)
Blackguards: I haven't played it for long enough to judge how villainous your character really is, there are probably greater villains in the game. But the title, your companions and the circumstances you find yourself in at the beginning at least suggest some moral ambiguity and twisted turns. You can choose to play a female.
Vampire The Masquerade - Bloodlines: You not only get to choose your sex, but also how savage a vampire you want to be and who of the other vampires to support; some of them are quite villainous, but the lines are pretty blurry here, too.
Neverwinter Nights: Not the official campaign, but there are several free custom campaigns that allow you to play an anti-hero(ine) of varying degree. Off the top of my head: Revenant, Prophet, Deja vu, A Hunt Through The Dark, Arandie, Vampire: Heaven Defied ...
Orcs Must Die 2: The villainess from the first game becomes a playable character. I guess it hardly matters for the game though, as all you do is kill one wave of orcs after another. But at least you get to look like a villainess while you do it. ;)
Enclave: There is a second campaign from the perspective of the Dark side and it also features female PCs. Unfortunately you have to play through the Light campaign first to unlock it. But I think it was unlocked by a very easy password suiting your request, so if you google for it, you might be able to start the Dark campaign right from the start.
Carmageddon: I haven't played it myself, but I believe you can choose to be a psychopathic female driver called Die Anna?
Meat Puppet: Pretty obscure isometric shooter with mixed reviews, hard to find these days.
American McGee's Alice: Alice is no villainess, but she's got issues. And she treats her own demons with violent brutality.
Ittle Dew: I think you are a girl and you hit other kids with sticks and set old men on fire. ;)
Post edited July 04, 2014 by Leroux