World of Warcraft puts players on a relatively fixed path in terms of loyalties. Sure, there are some very deliberate exceptions to this -- notably the Aldor/Scryer rivalry of The Burning Crusade and the Oracles/Frenzyheart feud in Wrath -- but in general, wherever a conflict arises in the game, the decision as to what side you're going to take is made for you. The rogue trainer in Northshire might tease you with the idea that joining the Defias is a potential option for you, but in reality, that can never happen.
WoW is certainly not lacking for "evil" factions one could potentially sympathize with. The aforementioned Defias, whose whole issue stems basically from getting screwed over by Onyxia's meddling, stand out as one such faction. Illidan Stormrage has long sparked controversy as to whether he was really on the side of evil, although that might be a result of his almost hopelessly confused lore. I have read suggestions that Malygos has a large (if misguided) sympathetic following. And even now, I see some already looking to figure out how to take the side of Big Bad Yet to Come, Deathwing himself.
Does this bother you? Do you wish sometimes that you could break the rules and side with a faction or villain you're not supposed to? What hostile faction or enemy character, if any, would you side with, given the opportunity to do so?