If you've got a real consensus in your group, then it might not be so difficult playing a 'bad' character.
This doesn't mean a Chaotic Neutral character who's got a dark, tragic past which means they never make attachments with anyone and don't care about anybody else and never do anything for anyone except themselves. That just means your player is a tool.
That kind of character is more like Walt from Breaking Bad, where he eventually turns against even his allies and his family in his selfish quest for power above all else.
Look at The Sopranos or The Godfather, or The Departed, or many Chinese gangster movies. If there's a bond between your characters, then you have the basis for a roleplaying game adventure. Your party can work together.
Technically Michael Corleone in The Godfather also turns against his allies and his family in his selfish quest for power above all else. But if your characters belong to a shared organization, clan, family, etc, where they have a shared code and believe in each other, then maybe their objectives aren't moral or ethical but they can at least work together.