From the basic facts of the short story, Richard Connell makes General Zaroff evil. There is no question about this. Any man who hunts humans is evil. It is cold-blooded murder. What makes General Zaroff more evil is his demeanor. 

First, Zaroff is cultured, intelligent, and wealthy. These characteristics are not what one would expect in a deranged killer. This is what makes the story and Zaroff erie. Here is a quote:

"Not in the least," declared Rainsford. He was finding the general a most thoughtful and affable host, a true cosmopolite. But there was one small trait of the general's that made Rainsford uncomfortable. Whenever he looked up from his plate he found the general studying him, appraising him narrowly.

Second, there is a detail that Connell adds. The general hunts, because he is bored. Animals present no challenge and so far humans have not presented a challenge as well. Therefore, the general hopes that Rainsford would be that challenge for him. Here is another quote that shows the general is evil. Also note that the way he talks - very nonchalantly, even when he is talking about hunting humans.

To Rainsford's questioning glance the general said, "Ennui. Boredom."

Then, taking a second helping of crêpes Suzette, the general explained: "The hunting was not good last night. The fellow lost his head. He made a straight trail that offered no problems at all. That's the trouble with these sailors; they have dull brains to begin with, and they do not know how to get about in the woods. They do excessively stupid and obvious things. It's most annoying. Will you have another glass of Chablis, Mr. Rainsford?"

In conclusion, Zaroff is evil, but the details about him show how evil he is. It is all a game for him - life and death.