The Talented Mr. Ripley was my introduction to stories in which we root for the bad guy. I may have read the book before seeing the 1996 film version by Anthony Minghella, with Matt Damon, Jude Law, Gwynneth Paltrow, and Philip Seymour Hoffman among others. Either way it was an eye-opener.
Patricia Highsmith's hero, Tom Ripley, seems an ordinary man, just getting by in life, though he does so by running petty scams. In the course of the story he progresses to greater crimes and reaps greater rewards. I admit I was delighted to see it all work out for him. When I shared that with a friend, he said, "No, that movie was a little too dark for me."
Why would we hope he succeeds? Whenever I have encountered grifters and con artists in real life, I have loathed them.
Matt Bird, in The Secrets of Story, says an audience will empathize with any character who is making decisions, doing something difficult, and having to improvise. His prime example is the second half of Hitchcock's Psycho.
So perhaps it's not so much that we are rooting for the bad guy, but rather that we empathize. And maybe we wonder what it would be like to take whatever we want without being bothered by feelings of guilt. But, of course, we would never do that.