I think it is all about the power. A lot of people have this hidden desire to have that kind of power and might relate to this kind of "hero". It is sick, but we all have black and white in us, so these shows let the dark side come out.
However, we are still fine as long as people don't love villians of GoT. If they will, we are totally fucked :D
Haha so True! A king Joffrey and we're screwed! :)