I think most of the villains in the Priest manwha need some sort of sympathy, unless of course the unreliable narrator is really just a dick, in which case screw him.
Knives from Trigun as well, at least in the manga.
I never had any sympathy/empathy for the Joker, because I think to have those emotions there has to be a human conscience to feel it to, and the Joker is just a creature of instinct. But villains like Mr Freeze, Two Face, Harley and Ivy, especially Harley. Man, I know she's crazy but she's just so pretty...
Uh, anyway, I can never tell with Magneto, mostly because I don't think the writer up there at Marvel Asylum for the terminally stupid know what to do with him anymore.
And of course, Ozymandias and Rorsarch. Ooh boy. While I can't condone anything that Ozymandias did, I can understand it, and see why, which can sort of lead to empathy, but equally, Rorsarch, however psycho, however right wing and nutjob, was just as right. The ending to that story is one of the most morally ambiguous I've ever read. Mostly I think I'd fall somewhere where Dan Dreidberg did, understanding, but buggering off as soon as possible, to try and get away from all of it.
EDIT- And just for funsies, I'll add that Alan Moore didn't intend for the character of Rorsarch to be seen in a positive light at all, he describes him outright as a right-wing nutjob. According to Mr Moore, anyone who sympathises with Rorsarch has the wrong end of the stick, though he hasn't come out in support of Ozymandias either. The ultimate villains of his story are Russian and American politicians, in his eyes. He just wrote Rorsarch as being too cool, so it led to a lot of misaimed fandom.