In our Police Science Institute Course on “Criminal Profiling”, we attempt to answer that question in depth. But for the purpose of this introductory Article … suffice it to say … there are two (2) psychological reasons.
The first reason is that we are fascinated by those who are willing to do the things that we are not. Most of us would not kill someone, and, could not even imagine doing so, but we are still nonetheless fascinated by those who can.
H.G. Wells wrote “The Invisible Man”, which stands as 1 of literature's great works in which the main character is the villain. It is such an excellent piece of work because it illustrates humanity without restrictions, and, it shows us what we would be like if we did not have to follow the conventions of the world. Although we would never want to see criminals actually get away with something, we do not mind "rooting for the bad guy" at times in fictional circumstances because they do what we would never do.
Movies like Ocean's 11 (and the sequels), Dirty Rotten Scoundrels, The Score, The Italian Job, etc. are all movies where we root for the bad guy because they are doing what we could never do. But do you notice something about each of these?
These crimes are often portrayed as stealing (never murder or other violent crimes) and often to someone who "deserves it". This leads us into our second psychological reason that we are fascinated by criminals … because we have a sense of justice that needs to be fulfilled.
From childhood, we are “wired” with an innate sense of right and wrong, fairness, equality and justice. When those things are out of sync, we want to see them returned to normal. Therefore, we are fascinated by criminals in literature and entertainment because we like having our sense of justice set askew and then set right again by the hero.
Often, these criminals (unlike in the earlier example) are not criminals we secretly emulate, but rather are involved in violent crimes or crimes in which the victim was not deserving. For entertainment purposes, we like seeing criminals commit a crime. Then get caught. What is interesting, though, is that increasingly, television shows like Law & Order willingly portray the occasional loss in order to mirror the discord with real life.