Sylar's character is intricate. There is no real evidence to his end-game, yet. Yes, he is power hungry. Yes, he has the need to feel special. Yes, he's a serial killer. What's intriguing is where he's going with it. Is his endgame revenge? Is it seeking the ultimate power? That's why he's interesting. It's a visual representation of the evolution of evil from first recognizing it's power to it's wayward outgrowth and then hopefully (for story's sake,) focused direction leading to a major power struggle - not just between him and another hero, but his power struggle for control of the country or the world, as egomaniacally thinking he's superior.
That's why Sylar stays.