In addition to the slavery/free will reason mentioned several times, I’d add that the agents murder those who do not want to participate in the Matrix. I’m surprised no one has mentioned that as being evil (maybe I missed it). Let’s not forget torture (of Morpheus).
Now how did you come up with the idea that murder is evil? Dang you bed-wetting liberals, where do you come up with these namby-pamby ideas anyway? 
The evil obviously comes from the fact that the humans that were kept in captivity were not allowed to participate in a free market economy.
Let’s have a little bit of sense here.
Jeffery
Murder? Considering they are defending their only way to exist (the matrix) and the human/AI symbiosis I still say they’re the good guys. Neo and Morpheus have no problem taking away people’s right to choose, they could have told Cypher what the Matrix was (it isn’t that hard to explain, there was VR in the 90’s) and he could have decided whether to take the pill or not, but instead Morpheus is overly ambigious. Cypher gets screwed and does the only thing he can to get back into his world, imagine if he told them he was going back they would probably have to shoot him.
I’d say most of the Agents’s actions are justified as acts of war. Neo does kill self-aware agents too, that’s arguably murder. Morpheus and his group are the aggressors and the Agents are doing their best to defend their symbiotic relationship after winning the human vs. AI war.
Actually, Agent Smith (Hugo Weaving) explains this in his monologue to Morpheus (Lawrence Fishburne):
"Did you know that the first Matrix was designed to be a perfect world, where none suffered, where everyone would be happy? No one would accept the program. Entire crops were lost.
“Some believed that we lacked the programming language to describe your perfect world. But I believe that as a species, human beings define their reality through misery. So the perfect world was a dream that your primitive cerebrum kept trying to wake up from. Which is why the Matrix was redesigned… to this: The peak of your civilization.”
[Thank gawd for an iMac with a built-in DVD drive, and my copy of the Matrix! Woo hoo! Gawd, I LOVE this movie!]
Is anything known about the second and third Matrix movies? Maybe they’ll explore the notion of whether or not the Matrix is evil (but probably not; they’re action movies too, right?). We should bear in mind that since The Matrix is the first in a trilogy, there are bound to be a few loose ends that don’t make sense… yet.