As a couple of people mentioned, I think it's because we can identify with the Villains. Most of the heroes are utterly perfect and wholesome. They always have good intentions, and on the whole, are unselfish. Sure, they want things, but it's never anything unreasonable, and they never want to hurt anyone else. And even when dealing with the villain, they only act out in self defense. This is something we aren't familiar with. All of us have done something 'bad' at least once in our lives, and we have probably intentionally hurt someone as well. This makes it easier for us to see ourselves in the Villains position, rather than the hero.
That's an interesting point, and I understand it.
In my case, while the heroes are "perfect" and wholesome, and no one in "real life" is completely perfect and always does the "right thing," the fact that the heroes do gives me something to aspire to.
Or as Oscar Wilde once said, "We are all in the gutter, but some of us are looking at the stars."
Whereas the villains, even though I am not perfect, do not give me something to look up to and aspire to. For one thing, I've never in my life wanted to kill anyone!
I actually see more of myself in the heroes, because I've always had a "live and let live" attitude about life and just want to "do my thing" without worrying about others. If someone has more money or power than me, good for them!
Whereas the villains, like the Queen and Maleficent, are not happy with themselves and what they have. In their minds, the only way they can be happy is to bring someone else down. This is a concept that is completely foreign to me!
But this is not meant in any way to be an argument with the villain fans, just a further explanation as to why I prefer the heroes, sidekicks, and non-villains, and why I find the heroes easy to relate to and identify with, and do not relate to or identify with the villains.