Roger Ebert perfectly analyzes The Godfather within the first two lines or his review: "The Godfather” is told entirely within a closed world. That’s why we sympathize with characters who are essentially evil."
There is something intriguing about a world that we do not understand. Even though it may be incredibly corrupt, we often look favorably upon the protagonists who are essentially the villain of the story.
Take a look at this review. What interesting comments does Ebert make about why so many of us enjoy a character who plays by his/her own rules. Do any other movies come to mind that include an 'Anti-Hero'?http://www.rogerebert.com/reviews/great-movie-the-godfather-1972