I have 2, 2 of the few villians that ever made me feel tense and afraid when they were present, so far at least.
Legato Bluesummers - The name, the design, the voice, all scream pure villian. But it's his actions, how he cares so little for himself just to make Vash question himself and break his ultimate moral. He is just pure evil, and how he uses the world around him like a tool is just scary. He could easily make Vash put his Colt to his head and end it, he could do the same to Knives as well an lead the group. But no, he just works towards his goal, not focusing on petty things. That and how he doesn't use a gun, every character has a gun or weapon special to them, but his power transcends and its effect compounds with the character.
Grand Admiral Thrawn - This guy made me fear for the characters every time he showed up in the Zahn Trilogy. He's cold, calculating, and can predict moves far in advance. Also he's not really "evil" persay, he just wants order in the galaxy. And he's willing to do whatever it takes. And nothing can seem to stop him, his brilliance and strategy bring the new Republic to it's knees, if he had been around in Palpatine's time the Alliance would've been crushed. Palpatine was killed due to his overconfidence and maniacal actions, Thrawn did what he needed to, controlled an entire civilization, a great jedi master, and many planets just with tactical maneuvers. And finally his lack of emotion was great, never angry, never really happy, just neutral as he watched the game play out, and even in his end, he remained powerful.