Before so many others picked up the same gimmick, he was the original unmitigated bastard. When you wonder about the appeal of a Light Yagami or Lelouch Lamperouge, consider that the prince of the Saiyans was a fan favorite years before they came on the scene. Vegeta's so arrogant he reckons himself superior to most of the population of the galaxy, and he'd probably look down at the rest of the universe if he happened to meet anyone from that far away.
He came around a bit, though, which is a big part of his appeal. He never quite became Mr. Nice Guy, but Bulma certainly did her best to civilize the big lug. There's something to be said for a hero with just a touch of a bad guy in him, and by the end that describes Vegeta to a tee.