Loki
Maybe it's because I only saw The Avengers, [haven't seen either Thor movie, or anything comics related], but I legitimately don't get the love for him as a villain.
Firstly, his motivation to conquer earth doesn't work because he's basically following some guy's orders. He's not a villain, he's a henchman.
Secondly, he's not remotely intimidating. He has one scene in the beginning where he wrecks humans, but he's mostly just using his magic spear, so I think without it, he'd be nothing. Even Iron Man, without the suit, as he put it is a genius billionaire playboy philanthropist. Loki's nothing without it. Every other scene he gets his ass kicked by just one of the Avengers.
Thirdly, I get that his schtick is he's supposed to more of a schemer than a physically threatning foe. Maybe in the other movies he has better plans, but he employs no real strategy apart from going into a place and destroying stuff. The only plan he has is to willingly get captured, like the Joker and Silva did, but Loki's elaborate plan was just, I'll let them capture me, and then their ship will get wrecked when the Hulk gets pissed and my guys come in to attack. He's basically banking on them to screw up. The invasion force wasn't unmanageable, so if the Avengers had been more competent and not let the Hulk get pissed, it wouldn't have happened. Hell, they figure out Loki's plan and are too incompetent to deal with it. The Joker meanwhile, apart from having that dual kidnapping occur to put everyone on edge, he also allowed Batman to beat him up enough so he could get a piece of broken glass, use it to threaten one of the cops, ask for something seemingly innocent [a phone] and activate a bomb he smuggled in the stomach of a guy. That is devious, and he did all that not just to screw with the cops, but as a way to get to Lau. Loki didn't need to take out that ship. His invasion force would have been able to deal with it fine, so there really was no reason to let himself get captured, so it doesn't come off as devious, it comes off as being weak.