Apocalypse from the X-men. Although he's not been in a movie yet, I'm pretty sure he'll be in a movie someday. Then he'll be the worst villain of all time: past AND future.
Recently I saw DragonballZ: Battle of Gods. Now that God of Destruction is one funny villain
For the rest I don't know... if a villain is crazy, that doesn't make him special or anything, it's just a madman. I prefer something that's a mix... some good, some evil.
David Bowie from The Labyrinth was a cool villain, I think. He can sing too!
Sometimes the "good" guys are acting like evil, you lose count how many people they kill ... I think those are even nicer. Like Schwarzenegger. Or ... well that avenger who destroys a whole bunch of punks with his twin guns and even a machine gun... fun fun fun. Gosh I don't even remember the name of those movies (there were a few). I can't really tell the difference between "good" and "evil" in such movies. It's all about the weapons. Those are the best.
I kinda liked the elders from Underworld too. I don't know why.
The replicant in Blade Runner was also cool. Such a sad figure. Merciless but also so sad.
There was also a sentient ship from Event Horizon. That one gave me the creeps. I'm not sure if it's really a villain... but whatever it was, it was pure evil.
Oh and then there's that devillike character from Legend. That one was also pretty nice I think. With those huge horns...