The Joker has had his own series.
It lasted about ten issues. Trust me, the less said about it, the better. For everyone. But if you're fine with it being not better, noted comics blogger and owner of the Big Monkey comics chain and podcast had this to say about it: http://absorbascon.blogspot.com/2006/05/joker.html
Roughrider has it right, though, I'd say. And the other problem would be that you require a bit of character conflict to make a series interesting- a character who is just evil or insane, like, say, Carnage, would make for a terrible series. No motivation outside of the fact that he's crazy. It would be exceptionally one-dimensional.
Magneto had a mini a while back, when he was Joseph, before he was retconned to not Joseph... it was... well, I think it could be put down as "very 90s."
Doom's 2099 series was good, Lucifer was good, even though they're "bad guys," because they had interesting reasons for doing what they were doing. They were morally ambiguous rather than being downright evil, and it made for an interesting read. Suicide Squad is, of course, incredible and one of my favorite series of all time, but it wasn't really a series about a villain, and more like a series about a concept that involved villains.
On that theme as well, of morally ambigious-ising the characters in order to make them work as protagonist rather than antagonist, the ever infallabile Simone has done it too: Villians United and Secret Six. But again, it was a case of turning the characters from "evil" into something more up in the air, or at least giving them new motivations rather than just antipathy towards a hero.
Salvation Run is shaping up well- I kind of hope that it means that we're going to get "World War Rogues." That would be sweet.
Certain villains could work well in their own series. I would totally follow a "Luthor" series, especially if it played up the angle that Luthor really believes that Superman is, overall, a detriment to the development of the human race, and made Luthor's reasons for his actions clear.