Malware is cool because either

1) If you're writing malware: you're programming with the intent to be as convoluted as possible to evade detection. It is a fun programming challenge.

2) If you're reverse engineering malware: you're taking apart something someone invested time into to be malicious or convoluted as possible

Bonus points are you learn a lot about the internals of stuff (Operating Systems, file formats, network architecture, etc) and, believe it or not, people are just distributing MALWARE for FREE. Malware is all over the internet and you can just TAKE IT and no one cares