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Ainz is my favorite anti hero protagonist. He and the rest of his guild are conquering/murdering everyone and he doesn't think they are the bad guys.

THAT'S WHY I LOVE THEM!!! Like, for real, you're the bad guys, and you know it, but you still pretend to think you're right. They0re the best,

That Time I Reincarnated as a Slime has a similar plot if you like Isekai/overpowered protagonists.