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Hi. UK lurker. Found Overcoming Bias many years ago from a link from Scott Aaronson's blog. Have been reading ever since. In case you're interested in demographic stuff, I'm a stats geek working in a finance firm. I'm very interested in Bayesianism in its application to finance.
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I would need actual examples of people who thought of themselves as villains here. (I realise this request may involve mindreading.)
Some do appear to be running through the Cool Villain pages on TVTropes, but would think of themselves as doing so to achieve an end. Some seem to have talked themselves into a position of moral ambiguity, where you can't do just one thing and someone will always get hurt and they might as well be the ones trying to make the least hash of it and achieve something better than bad. And the Xanatos gambits! It's quite dazzling having a party apparatchik describe to you their ridiculous gambit that they then seem to pull off. And wonder if the bit where they tell you about it was part of the gambit. Anything involving politics is a thirty Xanatos pileup every day anyway.
(It's not a counterexample to what you've said, but I think of Pol Pot's last recorded words, "Everything I did, I did for my country" and marvel at humans' power not to paint themselves as villains. Though that quote could arguably show slight awareness sneaking in.)
A fictional example of someone wanting to be a villain might be Shakespeare's Richard III. In the opening soliloquy in the play:
I, that am curtail'd of this fair proportion,
Cheated of feature by dissembling nature,
Deformed, unfinish'd, sent before my time
Into this breathing world, scarce half made up,
And that so lamely and unfashionable
That dogs bark at me as I halt by them;
Why, I, in this weak piping time of peace,
Have no delight to pass away the time,
Unless to spy my shadow in the sun
And descant on mine own deformity:
And therefore, since I cannot prove a lover,
To entertain these fair well-spoken days,
I am determined to prove a villain
And hate the idle pleasures of these days.
http://shakespeare.mit.edu/richardiii/full.html
Of course, the real Richard III probably wasn't that bad a chap, just poorly treated by Tudor propaganda (arguably)...