Tetsu from Sai Kano wants to go to hell (quote: "I still haven't killed enough to go to hell"), because he thinks that's where he'd go after death and that death is the only way out of his misery. May be simply a Death Seeker, though.
Inrutat of Pondus has a double subversion: A Death Metal satanist comes to heaven, looking awfully disappointed. An angel explain to him: "Oh, but this is your hell".
The Hellraiser movies have several characters with this mindset, and for some of them it even kinda works out - some of them are turned into cenobites, and enjoy it.
In the short story "Down Satan!" by Clive Barker, a wealthy businessman becomes convinced God doesn't exist, and decides to find out whether the devil does by building a literal Hell on Earth.
In Hideaway by Dean Koontz, the Serial Killer antagonist calls himself Vassago, believing he is the human incarnation of one of the demon princes of Hell and that by hideously murdering enough people, will be allowed to return to Hell at Satan's right hand. After killing them, he arranges their corpses in ways that symbolically/artistically represent the sins he fancies they committed, but truly knows the reason for doing this has nothing to do with punishing the guilty. Its also hinted at that his beliefs of demon heritage may not be so delusional after all
Hattie Durham is one briefly in the Left Behind series, after deciding that she does believe in God and the Bible, but doesn't believe she deserves to go to Heaven. She comes around eventually.
Quentin from The Sound and the Fury entertains the idea of going to hell with his sister for committing incest (which he didn't commit), in order to protect her. Or something.
Akumaro in Samurai Sentai Shinkenger wants to break the barrier between worlds and literally bring about hell on Earth. It's the only way he can see hell, because he was born a Gedoushuu (monsters of that series) instead of being a mortal who fell to The Dark Side.
In Blackadder, when the title character is made Archbishop of Canterbury he has to talk a dying landowner into leaving his lands to the Crown instead of the church. Since the landowner is convinced he'll go to hell without the blessing of the church, Edmund resorts to convincing him that hell is awesome.
Many of the Nephandi (fallen mages) in Mage: The Ascension. By the time they Descend they are already twisted enough to actually enjoy it in there.
The Fiendish Codex sourcebooks for Dungeons & Dragons 3.5 claim that many evil characters make deals with devils on the assumption that, after they die, they'll rocket to the top of Hell's hierarchy. "None ever look at a lemure [the bottom of Hell's food chain] and think that will be their eternity."
It is said, however, that when bargaining with devils, powerful enough characters can bargain for early or even immediate promotion to higher ranks.
In In Nomine, many who make a Deal with the Devil do so with the promise that they'll get preferential treatment when they finally bite it and go to Hell. Very rarely, their masters even keep their bargain.
There is an old gamer joke about a hardcore Doom player who finds a Genie in a Bottle and is granted three wishes: IDDQD, IDKFA, and a one way trip to Hell.note IDDQD and IDKFA are the God Mode and max ammo cheatcodes
The backstory of Zork has the legend of Saint Yoruk, who travelled to Hades to meet with the Devil and learn the secrets of magic from him. When Yoruk died, his soul went to heaven, but as he'd gotten used to Hades, he fought his way back there.
Cassus Vicus of Clive Barker's Jericho was the only person who sought out the Pyxis on purpose. Coincidentally, he's the only one who has all his perverted, twisted, and depraved desires fulfilled, with no catches.
In Jack Lita wanted to go to hell so she could kill her father, again. Of course, she had no idea he had become one of theSeven Sins and she ended up helping him.
Black Mage of 8-Bit Theater wants to get to Hell to rule it. He succeeds...for a time. One thinks he's got to die again eventually, though.
Ink Catherly from Hitherby Dragons is a preteen adventurer determined to reach hell "because I'm an explorer". In this case, hell is located in an infinitely-tall tower inside her closet.
In Zodiac the super-villain Hellhound is a devout believer who derives horrible pleasure from burning others to death with his flame powers, seeing Hell as his vision of Heaven surrounded by an eternity of burning flesh.
A common response to quotes on Fundies Say the Darndest Things is to suggest that if the person being quoted is going to Heaven, the commentator would rather go to Hell than be stuck with such a person for eternity.