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Any dramas where the female lead is in love with the main villain or a villain in the show at first? She doesn't know he's bad though, but then finds out eventually. Then she falls for the male lead who is always there for her.

Secret (2013) comes to mind immediately. You'll love the leads.
cruel city is the perfect fit .. although romance wasn't the main theme
Moon Lovers
Scarlet Heart
Too Late to Say I Love You (she did love someone else and as far as I got he turns out to be an ass)
49 Days
The Good Wife (but it isn't so much about romance, it's more a law drama but gives off a different feeling and I really liked how they filmed it)
The Imperial Doctress

A few of them I can say that the main guy is kind of the villain:
I have a lover
I'm Sorry, I Love You
What Happened in Bali
Personal Taste (not so much a villain as an ass)
I have to wonder about some of these recs.

I don't agree that the female lead was in love with the villain in Cruel City & Too Late to Say I Love You.

The female leads in both these dramas, as far as I can remember, were in love with the male leads from day one. In fact, they were so in love with their men that they barely had eyes for anyone else. There were no villains that they loved first and then fell in love with the male lead. In Too Late To Say I Love You the entire show is about the female lead sacrificing everything for her love. Even when her love hurt her the most she still held on to it.

I don't think these are good recommendations for what the OP's asking for. 

I also question the rec for The Good Wife ... I don't think this one matches either. I can see why it was mentioned, but I wouldn't say the guy in question was a villain. He was more a victim of his upbringing and so he behaved the way he did because it was expected of him - not because he was inherently a bad person or villainous in any way. So I don't agree with this rec either. The poster above also mentioned that it's a 'law' drama? Whut? Did we watch the same show? This drama had nothing to do with law, it was more a family/life drama and there was a romance. Maybe EvilYuli is referring to different drama than the one I have in mind?

Secret is a more appropriate rec because the female lead did in fact love the villain of the story before she fell in love with the male lead.

spot on!
Not evil, evil villian masterminds, but bad guys none the less:
White Lies
Someone Like You
I'm Sorry Kang Nam Goo
Devil Lover
Although I didn't watch it your post remember  me  ''Athena: Goddess of War'' , I dropped it because main female lead in love  with villain at the beginning