Again--GM--so yeah. From a player standpoint, I have played both morally gray and evil characters.
My morally gray character was already covered here.
My evil character was in a Planescape game. I was playing a psionicist named Mandrake (which, if I recall correctly, means “poison”). Mandrake was really evil. He would kill for nearly any reason. He was neutral evil, and so was capable of playing well with others, if it served his purpose. What was interesting was it was not an “evil” campaign, so Mandrake had to keep some of his activities somewhat private.
Honestly, I loved Mandrake as a character--I’ve re-purposed his personality multiple times over the years for villains in the games I’ve run--but I didn’t enjoy him as a player character. And that’s because, as a GM, I always play evil, and I’m usually the GM. So for me, a change is to play a good guy.
I do love to play morally gray characters. I think it’s because there’s a freedom in it for me. As a nice guy, there are a lot of things I’d like to do, but would never do. With a morally gray character, I can do those things. Again, see my write-up of Revenant for a good example.