Villains

I use this term broadly, as many times a great villain will be more sympathetic than the hero/protagonist. Here's a List of My favorites to date:

Literature:

"Friend" (Aka The Man with the Scarlet Eye) from Swan Song by Robert McCammon
The Lovecraft Mythos Monstrosities (Which include many, many beings), the creations of H.P. Lovecraft.
Steerpike of the Gormenghast series

Gaming:
Kefka
Sephiroth
Shuji Ikutsuki (Persona 3)
Nyx & Death/Pharos/Ryoji Mochizuki (Persona 3)


TV&Anime
Legato Bluesummers (Trigun)
Sensui (Yu Yu Hakusho)
Younger Togoru (Yu Yu Hakusho)