I usually equate a good villain with a great manipulator... so...
Now that some people are bringing up the Power Puff Girls, even though that show was the most obnoxious show ever aired, "Him" was a very frightening villain indeed. He could manipulate one's mind... what's not absolutely terrifying about that?
Another great villain was Alex from Golden Sun - he convinced you from the start that he was really the good guy, but as the story unraveled, one began to realize the true, manipulative power-hungry monster he really was, and how he was really the puppeteer of characters such as Saturos and Menardi.
And of course Yuber from Suikoden. He has no mercy, and likes to kill for the sake of killing. He even remarks on saying that blood smells sweet. (and he's hot but enough of that)
Bah, most of my characters are video game characters >_>