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I started playing them to go with my Harlequins, and kept playing them because they are such fun glass cannons.

As for their lore, they are unashamedly evil, but unlike all the other evils in the setting, they do everything for themselves.
The Imperium commits horrible acts in the name of the Emprah. Chaos does it because the voices in their head tell them to. Tyranids do it because they're hungry. So on and so on, while the DEldar do it because they can.
Plus, the characters are awesome, and the entire DE line looks amazing.

I find the Dark Eldar are best described in the lovely story The Torturer's Tale (here's a link http://www.thedarkcity.net/t2926-the-torturer-s-tale )