I went through a phase where I was more interested in the villain of a story than the hero. Probably because they get the best lines. Some of my favorites:
Vincent from Collateral: This guy is a real cool character. Not only does he get the funniest dialogue, he has a tortured soul and tragic past. And he looks damn cool in that suit.
Keyser Soze from The Usual Suspects: Okay, so he's a mastermind criminal behind just about every crime ever committed. What part about that am I supposed to hate? The movie is my all-time favorite film, and the villain and the enigma surrounding him is a large part of the reason why.
Lestat from Interview With the Vampire: I know I have two roles here played by Tom Cruise, but I swear I'm not a fangirl. It's just that he plays evil very well. And in this movie, how are you supposed to hate this sexy, sinister bloodsucker? You can keep the sparklepires, I'll stick with Lestat.
Sark from Alias: It's something about those baby blues and the way he professes his flexible loyalties. Sark is first seen butchering the head of a rival espionage syndicate...and despite or because of that remains an entirely engaging character. You're never sure what angle he's playing (his own, always) or what he'll do next. He's an efficient killer with a great accent and a menacing wit. He made the show what it was, and it was his absence that killed it for me.
Spike from Buffy: This would be his pre-neutered version. Post-chip he never was quite the same. But before he was defanged, he was a real menace to the Scooby gang, a villain you could never stop watching because you weren't quite sure what he'd do next. Again, self-preservation was his key. He'd do anything if it kept him alive and furthered his aims, and he did it all with a smile and sarcasm.