Cockroach

Cockroaches are not so much attracted (what I assume you meant to say) to darkness as they are averse to light. Brightly lit areas are much more easily surveyed by predators such as birds.

Additionally, cockroaches are claustrophillic, which means they like tight spaces. They prefer to be in contact with three or four walls at the same time. Tightly enclosed spaces such as they prefer are dark.

... a more accurate term is thigmotactic.

It's evolution, baby. Cockroaches avoid the light to avoid being eaten or squashed. It is likely an evolved behavior. Cucurachas that stay out in the light, get squashed or eaten, and fail to pass on their genes. Cucurachas that hide live to breed another day.