I've been thinking about it, and in the end, it's all about empathy. I like my heroes with a dark side - Batman, Faith, Elizabeth Turner - because I can empathize with them. It's a fact that we all face temptations. It's also a fact that the real heroes and saints are the ones who fall and still pick themselves up. It's easy to become the villain when life's dealt you a bad hand - Voldemort, anyone? It's not easy to fight against nurture - and nature - and still try to be a better person. And when those not-quite-heroes do fall and fall forever (the Anakin Skywalkers, the Lexes, the Irina Derevkhos), it's an even greater tragedy.
Or perhaps, it's just because anti-heroes tend to be snarkier? :p
ETA: The poll couldn't launch in this entry for some strange and inexplicable reason so I posted an addendum here.