Nicholas Cage plays Youri Orlov, a very successful gun runner who rises to great wealth by running weapons all over the world. The movie is mounted with a quick but not overwhelming rhythm, and we are constantly following Youri as he alternative he runs guns while escaping from his Interpol Nemesis (Ethan Hawke) and lives the good life with his beautiful wife and kid.
So, what is wrong with bad? From Youri's point of view, if you do not do it, somebody else wile.
And the fact that the bullet you are selling will eventually kill a young man, as shown in the fantastic opening scene which follows the story of a bullet from its fabrication in Russia to its use in Africa, is just collateral damage he did not pull the trigger.
And if you have to deal with some of the more sadistic people in the world, after all, business is business and it is not your war. And on the other hand, you are in good company. The major powers in the world are also the major arm traders.
******************* Spoilers follow *******************
The movie tells you in the end what is wrong with being bad.
It is not that you get hurt, or lose. Actually, good people are more likely to loose than bad people.
It is not that you go to hell, or its earthly equivalent, prison. Your well placed friends will take care of that.
It is that you are left alone. At the end, the people you really care for cannot bear with you any longer. And this is beautifully put by Ethan Hawke near the end of the movie, when he says to Youri:
" I am not sending you to hell, because you are already there"