Oddly enough, I tended to prefer many of the villains over the heroes, character-wise. They were more fun and charismatic and some of them were a bit more complicated than the heroes. Like Jack Spicer (Xiaolin Showdown), Syndrome (The Incredibles), Dr. Drakken (Kim Possible), Team Rocket (Pokemon), The Monarch (Venture Brothers), most of them are on the comedic side which is probably why I like them so much.
Of course, there's no way they could win because that would be the end of the story. I don't mind it when a villain loses, I mind it more when they're a rather "innocent" villain and they get treated a punching bag, sometimes just for the sake of it (Like Team Rocket and Jack Spicer). I like it when those "Not So Great" villains get their rewards now and then, like Jack Spicer in the first season of Xiaolin Showdown actually winning various showdowns and even stealing many of the Shen Gong Wu. It affected the story, but not in a "WORLD IS TAKEN OVER, THE END" kind of way.
I don't think there's a rule that Good Must Win by any company or regulation, I mean, look at Invader ZIM. ZIM never won, but neither did Dib, and Dib was on the "good" side. In fact, if either of the characters won, the show would have been over (which I find a bit interesting).