Why are the bad guy more cooler then the hero, I mean true be good but man the bad guy seems to have more fun and their method of thinking is interesting.
Because villains are usually more interesting and entertaining characters than heroes. You hate what they do but you also want to know why they do it and what drives them to it. There are heroes just as interesting as the villains but the only character trait some more generic heroes have is "good guy." A hero has to have more to them than just being good guys to be an interesting character. Where with villains the majority of them have more to them than just being bad guys and being a bad guy isn't their only character or personality trait.
In Season 6 it's revealed that he founded his own version of the League of Assassins called The Thanatos Guild before his death and he also discovered 3 new Lazarus Pits. So he might return in Season 7. He probably let himself be killed by the land mine knowing he'd be taken to a Pit and resurrected. And also probably to emotionally manipulate Thea into being so grateful for his sacrifice that she'd forgive him for everything he'd done.