Lamb to the Slaughter is a great (evil) short story written by Roald Dahl. Let this be the the first one you read.
The Gift of the Magi, by O. Henry is the classic short story. Check it out!
The Man From the South, also by Roald Dahl is even more evil than Lamb to the Slaughter. It has been made into an episode of "The Twilight Zone" and been adapted by Quentin Tatantino for his movie "Four Rooms." It was a crappy movie, but a helluva great story.
Jack and the Beanstalk, by Roald Dahl. This comes from his book Revolting Rhymes. It is his version of the classic story. Very funny. And if plain humor can't keep your attention, it rhymes.
The Hitchhiker, also by Roald Dahl is not exactly evil, but pretty crazy nevertheless. I typed this whole thing out, so you have to go look at it.