I would have to say Magneto from X-Men. I've always liked him, even when I was kid and watching the cartoon from the 90's. I also have to give a nod to Hannibal Lector, a truly scary, dark, and down right screwed up villain that no matter how much you hate him, you can't help but watch as he does something downright sick and demented.
Oh and I'll go out on a limb here and say Sephiroth from FF7 because no one else has said it. Kidding of course. But as far as gaming goes, I'd go with RAAM from Gears of War 1, and the locust army as a whole. They're ugly and frightening killing machines. You hate them, but somehow you gotta admire them.