First of all, the player is playing the guy,
and the player wants to win (why else put so much effort into playing well)

The other thing is, that most people considder themselve to be "good".
So the main character is mostly a "good" guy.

A way would be to still "win" the game / finish it, but
with disastreous results to your original intentions.
-> like blowing up the world, since you reaced the bomb 1 sec to late, or so.
-> or killing the Big opponent, an then finding out, this is yourself in the future.

Winning as a bad guy, is also possible,
you just need to be able to identify yourself with him (DungeonKeeper for example)