I think the reason why many villians nowadays are more of the "sympathetic" variety is because stock "evil" villians who are evil for the sake of being evil are kind of boring and bland. The bad guys who have good motivations for what they do become more interesting.
One thing I remember hearing was "A good villian never sees themselves as evil." What that means is, from the bad guy's perspective, what he's doing isn't bad at all, he's just doing what needs to be done to achieve his goals.
For example, using Hitler again (keep in mind I'm not trying to say what he did was good, I'm just trying to show why he did what he did), here was a guy who was determined to lead the German people, the "Master Race", to the great glory in which they deserved. In order to do this, he needed to expel the Jews (and later, exterminate them), and Germany needed many resources in order to grow, including raw materials and land.
He brought the Germans out of their depression following the humiliating defeat and peace terms after World War 1 (which stated Germany had to demobilize most of its military, pay the costs for the entire war, and admit guilt for starting the war in the first place. To many Germans, it's like being kicked and then spat upon after you've been knocked down), by rebuilding their economy, military, and giving them a sense of pride and honor in themselves again (when a lot of men aren't working, and then are suddenly working now, you would probably agree that the guy in charge is a good man).
Unfortunately, this "vision" of a Greater Germany would come at a terrible cost. When WW2 began, they passed the "cost" of this high lifestyle onto conquered territories (they started with Jews in Germany, but it wasn't enough to keep up with the demands, and it was because of the increasing costs which led them to war). The Germans would quickly conquer a country via Blitzkrieg, then strip the country of all its materials and wealth, sending it back home. This meant the conquered people were living miserably compared to the Germans, and millions would die as a result.
Another problem was anyone who didn't have the "ideal master race" traits, such as blue eyes and blond hair, were deemed inferior, and were suitable only as slaves, or dead. The Nazi's dealt with communists the same way as they treated Jews, so when they invaded the Soviet Union, they often killed the people they conquered, rather than "liberating them from communism" (as many Russians weren't exactly hardcore followers of Stalin during the outbreak of WW2, but increasingly they felt loyalty to the common cause of repelling the invaders from their homeland). This meant that the Germans would face increasing resistance everywhere, mostly in the Eastern Front, which is where the bloodiest fighting in WW2 was occurring along about a 2,000 mile front (which is roughly from New York to Los Angeles in the US).
Ideology also played on both sides. The Soviet Union wanted to destroy the fascists since they attacked first, and often killed many of their soldiers and civilians. However, as the Soviet Union began to push back the Germans and invade Europe, they often committed terrible atrocities themselves, raping millions of German women, partly out of the frustration that they had to endure from the German military, and also as a psychological weapon; it looks bad on your army if you can't prevent stuff like that from going on (unfortunately it doesn't get talked about much, but it happened regardless of what you believe, or want to believe). And the bombing of civilians by British and American warplanes only stiffened the Germans resolve to defend to the last (Hitler wanted every German to die defending Germany, saying they deserved what was coming to them for not fighting hard enough, but luckily cooler heads prevailed in the end, particularly after he committed suicide).
Again, I don't condone what Hitler did, but when you begin to "study" him, you can start to see some of the underlying reasons why he did what he did. And it's because of things that happened in the aftermath of WW1 why the victors tried to do things differently after WW2 (for instance, helping to rebuild Germany, rather than placing blame entirely on the country and forcing the Germans to pay for everything again). And it's because of the German invasion why the Soviet Union set up the "Iron Curtain", buffer states between themselves and pro-US countries, to prevent another "Operation Barbarossa" from ever happening (and things that happened during the Cold War would affect things going on today, such as the rise of men like Osama Bin Laden, the creation of the Israeli state, and all the conflict going on there today).
So, in short, would you rather read a story about a guy named Hitler who wanted to conquer the world because he was evil for the sake of being evil? Or would you rather read the story of a frustrated painter (yes, Hitler was a painter, and he couldn't get into art school) who saw his country go from great glory to a shameful depression, and vowed to do what he could in order to bring the Germans back to great power and glory again, then backed up his claims by helping his people at the expense of hurting others?
By the way, it's interesting that Joseph Stalin, the guy in charge of the Soviet Union during WW2, was responsible for more deaths than Hitler was (I think some 30 million deaths, at first mostly because of "collective farming", later because he forced Soviet soldiers to fight to the death, lest they risk getting shot by their own forces if they retreated, or their families suffering because of their "cowardice"), yet he's usually portrayed in a good light (classic example of "history is written by the winners", but to be fair, he did bear the brunt of the fighting against the Nazi's during WW2).
You'd be surprised how much information you can find by studying history. Some of the things that happened seems like it came straight out of a story (such as Julius Caesar), but these things really did happen, and there's a ton of info you can draw off of if you need ideas for your own stories (my main antagonist is loosely based on Hitler, for example).