Ari Marmell tried it in The Conqueror's Shadow but he merely had a bad guy fighting someone who was worse. Still a really good book but he could have gone further with the premise.
David Dalglish's Half-Orc series makes one of the 2 child killing orc brothers the "hero". despite one of the brothers going on a somewhat more heroic path, the fact remains that he has slaughtered hundreds of innocents and helped his brother murder children for necromantic experiments. its a very dark series.
those are the only 2 examples i can think of. unfortunately i don't know of any books where someone wholly evil is the protagonist/victor. it would be a refreshing change.