Most RPGs allow you to be evil.
The best example is Fallout 3, while some choices are gray, most are good or evil (though you may sometimes get confused on which choice is good and which is evil).
Non RPGs do it too, like Overlord 2, but being "evil" in that game is more of childish comical evil, not serious evil.
But the best games to be truly really evil are the first Starcrafts, Starcraft 1 and Brood Wars. If you like traditional RTS games, you can't play a more evil role than Kerrigan. (stay away from HotS though, you'll be traumatized by the cringe worthy writing)