I can't let threads like this go, and I'm similarly incapable of giving a single answer. Hey ho...
All the ones I've listed so far have two things in common - gender, and moral ambiguity (Lash defects to the good guys (albeit unwillingly), Fujin dobs in her mentalist boss when it becomes plain that he's just unhinged, Etna cannot be judged by normal moral standards (being a demon and all), and Tira's just unhinged and in with a bad crowd). What I love though, is a good villain.
Classically, the best for me is Sephiroth. He set the look and feel for so many RPG bad guys that followed - it could be argued that Final Fantasy has basically been recycling the Sephiroth archetype with the male baddies ever since, and failing to match it each and every time. He's that perfect combination of coldly logical, demented and damaged. Plus he looks f@cking cool.
I'm also a little surprised, given the Portal-loving nature of a lot of posters here, that GlaDOS hasn't had a mention. So much of what was wonderful about Portal was her dialogue - so devoid of emotion to begin with, and the alternately pleading and threatening as everything begins to shift. A perfectly pitched villain, with feet planted firmly in both the comedy and drama camps. Great theme song too.
Back on the theme of moral ambiguity though, there's always this woman
, starring is what is undoubtedly my favourite videogame cutscene ever. Is she evil? Is she real
? Is she just a figment of the main character's imagination, or a manifestation of his feelings of guilt? Whatever, she's damned creepy...