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Cause the "heroes" only want to maintain the status quo.
Anti hero, we, oh excuse me they, want to stake their own claim and shake up the status quo

The heroes more often than not try too hard to be good. You can tell it is fake or at least it's just boring. The anti heroes are usually people who have been thrown into the role and are doing it for reasons other than for "hero status". Often they will shun any praise or attention their good deeds bring as well.

I consider Superman to be the dullest of the superheroes actually and I always wanted the Dark side to win in Star Wars.

Well, the bitchy villains are always given the best lines!

Well, I guess I understand what you mean. It is very easy for a perfect hero to become boring.

However, it is not like I always root for the anti-heroes either. And as soon as the villain does something evil to anybody, it is difficult for me to like them after that.

I think it's that the villains have a goal they're trying to achieve. People with a goal are more interesting. They're often more complex people than the heroes, too. It doesn't necessarily make them more likable people, but it often does make them more interesting to watch.

As for Vegeta, what made him such a great character was that he was one of the few people in DBZ who had actual character development and a complex personality. This is why he's almost universally considered the best character in DBZ. Piccolo is similar too.