My group plays in the Forgotten Realms (3X edition, with house rules) and there are a number of options for evil campaigns in Faerun. The first that came to mind was the drow, but I quickly decided against it, even though I wanted to run an evil game. I nearly started a drow-based campaign a couple years ago and my group has been itching for it ever since, but I haven't been in tune with it. I also think we could all use some practice playing with evil, since we tend to play good or at the very least neutral characters. I decided to stick to the surface, and one place stuck out: Thay, the only nation on the face of Faerun that is identified as evil. There are evil cities like Luskan, and evil groups like the Zhents, but Thay's size, population, and boundaries outstrip the rest.
After raiding my books for published information about Thay, I quickly discovered that it would suit my aims. Thay is known for Lawful Evil and Neutral Evil, which was what I had in mind. I wanted to encourage Lawful and Neutral characters without forbidding Chaotic ones. I also wanted a cruel nation with cruel laws, but laws nonetheless, as well as social codes and castes. I had a twisted version of Rome in mind, a powerful nation with reasons to be proud. Thay fit the bill. Although Thay is famous for its trade in cheaper magical items, it's also infamous for its trade in slaves, and I thought my players might like to play slavers for once. They'd liberated many slaves in our former games; it would be different to own them, and I had a feeling that they'd be interested in trading them.
Location and related information can help you start drawing up some boundaries for character creation and the setting in general. As I went through my books, I set up an information page to help refine my vision of Thay and to help my players figure out their options. (When I first pitched the idea of a game set in Thay, I could tell that they weren't sure where to start, since they knew so little about it.) I let my group know that I had a new deity for anyone who wanted to play a cleric, and a new version of the Red Wizard prestige class. I was interested in giving the players some more power from the start, so I told them I wanted to have a nobles game. We've only played nobles once, briefly; it'd be a nice change of pace. They were on board with that, and with starting at fifth level, right before a lot of prestige classes become available.
When I start a game, I like to make sure the characters have some way of knowing each other and some reason to work together. They can be anything from acquaintances to family, and I encourage them to figure it out amongst themselves. That way, when the adventure starts, they're not complete strangers and they're less likely to be at each other's throats more than the enemy's. It seemed to me that such an opening could be even more advantageous in an evil campaign. Trust and instant camaraderie tend to be in shorter supply in evil games and a solid connection can keep even thieving, murdering bastards together. I wanted to consolidate our focus, so I asked them all to be a part of one noble house, preferably members of the family rather than servants or hangers-on. Two of them swiftly decided to be brothers, a big departure from the norm, and the third said she'd be their cousin.
The family, then, became the base for the game, so I got the group involved in furnishing it. I asked them if they saw their characters with parents and siblings. They all wanted younger sisters and were fine with living parents. After some consulting with the best DM I know, I took his suggestion about marriage for nobles: Thayan nobles must be married and produce one heir by the age of 35. If they don't choose for themselves, then the family will intervene to ensure their lineage. I gave the players this information and they set the age of their characters accordingly. I did not encourage them to go ultra young, since whelps have little influence in Thay, but they knew the pressure would be on if their characters were close to their mid-30s. They chose to be 28, 27, and 25, respectively.
About that time, I pored over the noble houses of Waterdeep, which are outlined in a web enhancement for the City of Splendors book. I sketched out a list of the 90 noble houses spread throughout Thay, according to their major areas of interest. I then asked my players to take a look at it and let me know what they thought, and to figure out what their house's interest(s) would be. Between the three of them, they decided on slaving and the training of courtesans for sale. A little after that, I drew up a name list for Thay and together they agreed on House Valgon. One PC is aiming to be a Red Wizard and another wants to be the muscle. My lone female player decided to take me up on my deity and made a cleric. She quickly came to me with ideas about her character's goals in the family and details about her quarters.
These early decisions set the tone for the rest of the game, and another DM might have drastically different goals and a group with very different desires. Your mileage will vary. But the setup came together pretty well and we had fun, which remains the main point.