I have run and played in numerous evil campaigns. They can be a lot of fun, refreshing even. Depending on the level of roleplaying and character identification in your group, it can be taxing.
The trick to running an evil campaign is to keep the world darker than the characters that inhabit it. Not only do they have to worry about the good guys, they have to worry about every other evil genius with a plan. Do not set up a world for them to happily walk through raping and torturing every innocent farm boy they meet.
Just as a paladin doesn't have to be 'Lawful Stupid', evil characters do not have to played 'Evil Stupid'. Evil can work together for a common goal. Evil can work together in the interest of their mutual survival. In the real world, evil is not so black and white. People who do evil things are not monsters who have no love for others.