Why would anyone envy the wicked? None of us think "I want to be wicked." So, why is Proverbs (and it seems like there are several psalms, too) so concerned with reminding us to "not envy the wicked"?
It's because of what they have. Power. Money. Control. Stuff. Comfort. Whatever they want, really. Everything, seemingly, works out for them. We don't realize it, but that's what a lot of us really want. We want to do what we want to do. We want what we want. Look how much we work (and work) just to get more stuff.
And look where that has brought us.
Maybe there's something better to seek after in this life. I wonder what it is.