Honorable mention to the alien monster in John Carpenter's The Thing. The villain is so fascinating because it has no face, we never know what the 'original' appearance of the creature really is. It's almost an abstract entity, evil in its purest form.
Villains I love to hate include Minister Frollo in Hunchback and also Dolores Umbridge of Potter (congrats for making the audience hate her more than Voldemort! ) as they're so self-righteous and convinced of their own saintliness that made them doubly despicable.
As for those I actually sympathized with there's Magneto of the X-Men (I do not consider that disastrous X-Men 3 movie for this), and in truth I had more respect for him than Xavier in X-Men: First Class, and I do believe that at the end I'd have chosen to go with him instead of remaining with the heroes. He seemed far more grounded in reality with a sense of realism that Xavier lacked (and as for leaving, those gun boats would be a huge incentive to leave with him, too).
And Spike of Buffy was so entertaining as a villain that I have to give him an honorable mention.
Denzel Washington in "Training Day"
Darth Vader
Joker (Heath Ledger) and Bane (Tom Hardy)
Jack Nicholson in "The Departed"
Jarvier Bardem "No Country For Old Men"
Benedict Cumberbatch as KHAAAAAAAANNN!!! in "Star Track: Into Darknes"
and David Carradine in "Kill Bill"