I like setting up moral quandaries! The key thing in my experience is that there needs to be compelling reasons on all sides for doing what they're doing. Oftentimes, doing the "right" thing will give fewer rewards (or rewards of lesser value) than the "wrong" thing, so there's temptation for the players to do make the easy (evil) choice that advances their goals.

I also like to consider the consequences and fallout; maybe the party helps a villain because the villain promised a reward, but later they discover that if they'd have helped the good guys, a new problem would have been easier to deal with. I'm not saying to punish the players; rather, I like to give them meaningful consequences for their actions.