This also applies to almost every single gangster movie. "Scarface" being really the case study.

I believe it is mostly due to the last scene of these movies where the hero dies in some crazy action scene. Lot of adrenaline, and it looks so "cool" on screen that you can't help thinking "wow this guy was awesome!".

One movie that dealt with that really well was "Goodfellas". During the 2nd part of the movie, the downfall is filmed in a very slow, almost boring manner. And the end is boring as f*ck, specifically to avoid this pitfall of glorifying the "hero".