He does. It's in the series bible that comes with the DVD of the animated series. I can't think of any good examples at the moment, but he does say "Justice is our client, Max. And justice is blind and frugal" in 301. Or something like that.
I am with Shwoo here. They are anti-heroes. I think a lot of people here are confusing 'anti-hero' with 'villain' when that's not the case at all. Saying they are anti-heroes is not the same as saying they are evil, or even that they lack heroic motivation. Though to be fair, anti-heroes come in a variety of flavours.
That's not what defines an anti-hero. An anti-hero is a protagonist who doesn't have all the traits normally associated with a hero.
A normal hero wouldn't throw a bomb out a window because there's nothing but strangers out there, for example. Sam does care about justice, but he goes about it in a weird and callous way.
But a hero isn't always a perfect role model, as well.
Sam's not so weird or callous that he makes no attempt to bring criminals to justice without any violence whatsoever. He does make attempts to arrest people in the Telltale games, at least, and that's better and more heroic than Batman beating the daylights out of every criminal he meets.
Comments
http://tvtropes.org/pmwiki/pmwiki.php/Main/SlidingScaleOfAntiHeroes
I think Sam & Max would fit type IV, particularly Max. Sam drifts towards a Type II.
Sam's not so weird or callous that he makes no attempt to bring criminals to justice without any violence whatsoever. He does make attempts to arrest people in the Telltale games, at least, and that's better and more heroic than Batman beating the daylights out of every criminal he meets.
Sam & Max are actually listed in the comics section of Type III -- Good, But Not Nice.