Tough Question. I was gonna go with something Final Fantasy, but the FINAL bosses had a tendency to be the most useless things from 8 onward. And I don't wanna look like a loony or a boy band members, so Kefka and Sephiroth are out, respectively.
Rolento from the Final Fight/Street Fighter Alpha Games. He WAS the final boss in one of them, although I can't recall which. Grenades, blackjack, minions, army of loyal anarchist thugs? Sign me up, please.
If not Rolento, then I'd have to go with Shao Kahn. Shapeshifting sorceror who despite constantattacks never seems to consistently die? Groovy.
I'm surprised more people aren't talking about fighting games here. Those guys were usually pretty cool, and could also get the ladies (not a strong suit for platformer bosses, frankly).