Playing Evil in an RPG.

Recently, I have been playing through Fallout 3 again. The first time I played through, I was a saint. I choose all the "good" paths trying to do the right thing whenever possible. This time, I am trying to play the game with an evil bent. This is hard for me. It makes me feel bad, I don't know why since it is a video game. It's the reason I played Saints Row 2 for all of a couple hours and got sick of it. I am going to try to blow up Megaton just because I want to see what happens, but I am going to have trouble with being evil.

The reason I bring this up, is that I don't have the problem when I GM. I don't allow evil campaigns, so as a GM I am forced to be the bad guy. I wonder at times if this is the case where I don't want evil to win. I know if I play Fallout 3 or Saints Row as an evil PC, I will win the game as an evil guy. If I am playing an RPG where I am putting obstacles in front of the PCs, then evil is not winning.

Anyone have any suggestions on why I might get the "willies" for lack of a better term when I play evil characters?