Just to name a few...
Alex (Golden Sun) - This guy...I still can't figure him out. What is he REALLY after? His shock reveal as the ultimate antagonist at the end of The Lost Age was one of the highlights of the games, and whilst Dark Dawn was the most disgustingly unworthy sequel I have ever had the misfortune of playing, it DID bring him back into the thick of things, and only raised more questions. Alex intrigues me. He doesn't seem to be overly antagonistic, yet he's clearly cast as a villain. But...why?
Liquid Snake (Metal Gear Solid) - Oh, Liquid...how I love Liquid. He has the most incredible accent, and he is one of the most stubborn video games villains I have ever seen - he gets shot down in a helicopter and then in Metal Gear REX, then he gets punched off the top of it, and THEN he comes back in a jeep, guns blazing! Then he random collapses due to FoxDIE. Then, to top it all off, he apparently possesses Ocelot through his hand. This guy is badass. He loves to monologue. He has a spectacular inferiority complex despite being the superior clone. Liquid Snake should never have died in the first MGS, the series was made so much poorer for it.
Kefka (FFVI) - Because he did something no other FF villain has ever done before or after FFVI's release: he actually accomplished something. He achieved his goals, and he did it with a smile...well, a manic grin, and some extremely amusing jokes.
Faize (Star Ocean: The Last Hope) - Faize's story in Star Ocean is quite tragic, really. I liked him as a protagonist (although his relationship with Lymle freaked me out...she fifteen, but looks like she's five, and he's eighteen. GOD ALMIGHTY.) and his gradual descent into insanity was the most believable emotional trauma any character in that game - ignoring Edge's embarrassing little angst fest here - went through. It made the ending of the game, which threw the entire thing into confusion, so much better than what it may otherwise have been.
Popola (NieR) - To be honest, I did not see this coming at all, and I'm fairly good at predicting things like this. But fighting her and her sister to a remixed version of Song of Ancients was one of the highlights of the game. But what really made this stand out was how she reacted after Devola was cut down...she went absolutely INSANE. I was genuinely freaked out, because she had always been such a mild-mannered, sweet girl. I got the impression that Devola was the assertive one, but she really went and proved me wrong there...
Lezard Valeth - I didn't see this coming, either. One minute, I'm positive I'm going to be fighting Odin as the main villain, and then...wham. Lezard kills Odin, takes Gugnir for his own, and sets up his own dimension, with the thoroughly bizarre goal of fusing with Lenneth Valkyrie, leaving me to think "I don't know where the hell this came from, but I like it!" whilst I climb his tower...only to watch him go psychopathic. Lezard's laugh is one of the most terrifying laughs I've ever heard, and his maniacal little speech during his Meteor Swarm attack is impressively grandiose...especially considering how much damage it does. He was a deceptively uninteresting side-character who took the role for himself, which was fantastic.
I tend to prefer the antagonists to the protagonists in video games overall though, to be honest. They just have so much more depth to them.