I think my favorite villain is Christopher Carrion (Abarat). It's a kids book, but he's just freaking cool.
stolen from Wikipedia...
Christopher Carrion (Gorgossium) His nightmarestake physical shape as creatures residing in a fishbowl-like tank which
forms a collar around his neck and the lower half of his face. Tubes
attached to the back of his skull allow the nightmares free passage
from the depths of his head to the bluish fluid which fills this
nightmarish collar. These nightmares are used to punish and torture, and
seem to respond to his commands as though they have intelligence.
I think that Pinhead from Hellraiser is a pretty badass villain. I mean, he's a demon from hell who's pretty much impossible to fight. He kills you in just about the most terrible and painful manner by ripping you apart with hooked chains. Then he takes your soul back to hell where he continues to turture you for the rest of eternity. Thats some fucked up shit.
I'm going to have to go with Sardu from the little known Grindhouse film "Bloodsucking Freaks." He has a midget with an afro who captures women for him to use in his live snuff theatre.