I don't think I look for anything in villains as long as they're unique in some way. I enjoy villains that you love to hate, but I also enjoy villains that aren't so crazy. I think my favorite villain at the moment is King Gaius from Tales of Xillia.
I also really like Veger from Jak 3. He kind of came out of no where, but at the same time, he's technically been there from the beginning because he kidnapped Jak at a young age. And yeah, he's a huge asshole, but I think the worst thing is:
For the most part, I enjoy villains more like Gaius that aren't entirely villains per se, but I do appreciate the typical evil butt wipe if they're done well enough.