I've named a few video game villains I love in other threads. Guys like Shiva (SoR2/3), Ashtar (NG2), Magus (CT), Gill (SF3)...all stood out to me compared to the other characters in their games. Of course, you don't really have a great game without some great bad guys to go with it.
One villain that I've had a growing respect for though, who I don't think gets enough credit these days, is Andross from Starfox. The guy was SO bad that he was literally kicked off of his homeworld, and yet within just a few years afterwards, he amassed a starfleet big enough to conquer his entire solar system. In that time, he also built half a dozen enormous space stations, filled the cores of planets with weapons, created monsters that could somehow survive on the Sun, and even figured out how to enlarge his own brain to 1000x its natural size without killing himself. The guy makes Wily and Palpatine look like slackers!