The best example I've read in ages is 'Vicious' by V.E. Schwab. The main character, Victor, is so perfectly, deliciously conflicted. He sets out for revenge with this cold, calculated plan, but the story constantly makes you question if he's the monster he thinks he is. The line between hero and villain blurs until you're not sure who to root for, which is exactly what I want from this kind of story.
Another one that fits, though it's a bit less flashy, is 'The Blade Itself' by Joe Abercrombie. Logen Ninefingers is a warrior trying to leave his bloody past behind, but he keeps getting pulled back into violence. His inner monologues are fantastic – you really feel the weight of every choice. It's less about grand evil and more about a broken man wrestling with his own nature.
For something more classic, you can't go wrong with 'The Chronicles of Thomas Covenant'. Covenant is possibly the most reluctant protagonist ever written. He's transported to a fantasy world he doesn't believe in, and his refusal to accept the hero role creates this incredible, painful tension. It's a tough read because he's so unlikable at times, but the conflict is the whole point.
I tend to find that the best anti-hero stories aren't about people who love being bad, but about people who are trying, and often failing, to be something better.