Nordom from Planescape: Torment. Somehow, through the thing's silly-putty eyes and Hank Azaria's glorious vocals, they made a box with legs unbelievably adorable. If he and GLaDOS teamed up they could make hearts explode with sheer sweetness. Morte and Dak'kon were also pretty awesome, but I want a Nordom all for myself. I would keep him in my room and hug him and talk to him all day.
I'll also give a nod to Kratos, the most irredeemably badass god-killer Sparta ever spat out.
One of the most effective villains I've encountered has actually come from Breath of Fire 4. Lord Yuna is a genteel, charismatic psychopath who manipulates the egos and generosity of everyone he talks to in order to advance his own horrible agenda. Either directly or indirectly, he is behind every single heartless atrocity in the game, and made just that much more infuriating by the fact that you never do get to punch his face in, given that he hides behind his pacifism to avoid taking responsibility for his actions. More than murder, power or a sweet cape, the most prominent quality in a good villain is the ability to just be a total jerk who doesn't care about anyone, and this dick epitomizes that.