There are two examples where you're playing an outright villain.
1. Saints Row 2
You're playing a violent and ambitious criminal mastermind looking to control your hometown and murdering anyone and everyone in your way. You're fiercely loyal to your crew, and them to you. My favorite moment in the game is when you coldly watched your best friend brutally beat a teenager at a cemetery for interrupting his wife's funeral and helped him put the kid into a recently emptied casket and bury him alive.
2. Final Fantasy Tactics Advance
You're trapped in a final fantasy themed world along with your friends and your families. The world is a place where all of your friends are happier, healthier, and have a sense of purpose. But it's escapism, and you're determined to destroy the illusion and get them to face reality. In doing so, you have to destroy the world.
As for games where you were the bad guy all along (Bioshock Infinite, Spec Ops: The Line, TLOU2) are straight railroading, pure and simple. They admonish you for wanting to see how the story ends and call you a monster for "being a murderer". You are given no choices of getting through the game non-lethally. You're only allowed to run and hide, which doesn't change the ending or make you less of a monster. People get to crit health and start begging for their lives. If you do spare them, they get back up and try to kill you. The game screams at you to use the White Phosphorus and tells you THERE'S NO OTHER WAY. So you do. Then the game asks, HOW COULD YOU? THE WHITE PHOSPHORUS IS A WAR CRIME! YOU MONSTER.
So the game railroads you. Then blames you for being railroaded. Then the developers say there is a way to get a better ending. Put the game down. Fuck you. Give me a refund, then.