The obvious reason is because they were unbelievably hot together.
And now for the serious, studious answer...
I didn't see Lilah as evil. W&H didn't represent some supernatural evil. Remember: in the Buffyverse, mystical evil things are really metaphors for real things. At the end, they basically came out and stated that W&H represented the corporate corruption that is slowly taking over the world. Lilah, in my opinion, represented people who are taken in by that corporate culture. They still have lives and feelings, but the corporate culture does not allow for that. The corporation wanted her constantly on call. It wanted her to be entirely devoted to it. It didn't want her to have a separate private life, hence the business-related double cross. W&H wanted its employees' souls, not just in the Buffy-verse meaning of the word, but also in the real-word meaning. There is also an interesting feminist subtext to this because, as a woman, Lilah had to work harder and give more in order to succeed at the top level of the corporate environment and, also in a work-related incident, she had to rise up against a misogynistic man from a powerful family. Her love life was always under scrutiny -- to the extent that Gavin even made fun of her because she hardly ever had lovers. To make it at W&H, Lilah had to stop being Lilah and become W&H.
But real life doesn't work that way. Lilah couldn't turn off Lilah the woman in order to be Lilah, W&H employee. She couldn't devote herself entirely to corporate culture. She grew to love Wesley even though he didn't fit the mold.
Wes, for his part, had a similar experience. He tried to do what he thought was right. But he ended up betrayed, nearly killed (twice), and friendless for his trouble. As a result, he tried to cut himself off from human contact and emotion. And then, there was Lilah. At first, that seemed ideal: a no strings-attached sexual release with a woman who didn't love him, so couldn't hurt him. But then he saw a side of her that no one else saw: the horny side, yeah, but also the side that cuddled and giggled over the word "relationship." She became someone he couldn't just use. She re-established his connection to humanity. She became someone that he couldn't just let die. He saw her as separate from - perhaps even more than - W&H. So when W&H went down, he went in after her. In coming to terms with the contradictions in Lilah's character - the contradictions that made her able to connect with him despite being W&H girl - he came to terms with the contradictions in the characters of his friends that had enabled them to abandon him. Through his relationship with Lilah, he began to see people not as "good" or "bad," but as complex and valuable for those complexities.
Was this love? I don't know. But that doesn't so much matter. What matters is that it had value for both of them. It was something that they needed. And they grew as people because of their connection. Whatever you want to call it, they were important to each other. It's not fair to belittle that connection just because it started with sex and desperation. The point is that it grew to mean more.
