The issue here is, that if the Bad guy's agenda is to end the world, then it would be in your own best interest to oppose said bad guy, you know, for the sake of
survival! Besides, most stories typically follow the process (life and challenges) of the good guy, because people (debatedly) can better relate to the good guy, rather than the psychotic killer... Furthermore, following a "hero" character inspires people to be or act "good" them selves, and gives hope, that not everyone are evil...
Of course, this is just philosophical conjecture, and not necessarily true, or even sensible...