I can't really remember many really good villians.
I mean there's gannon from Zelda. He was always a good fight, but the character? Hmm maybe.
Sephiroth was alright. I think it's mainly from the badass things like the Midgard Zolom impaled on a tree and his Super Nova Summon. Also boosted by some pretty good fighting on Advent Children (the extended edition) and Crisis Core.
And what bad guys are better than the ones you get to play as? Yes Arthas and Illidan were good bad guys. I think I'm mainly persuaded by cutscenes though.