Joker, from Batman because of his psychic side. He doesn't want only to be evil, but to try to show how everyone is also evil like him in the inside. It's an interesting concept for a villain.
Liquid Snake, from Metal Gear series, because of how he tries to control the whole society through economical and technological means. He's a critic to how real world leaders try to use everything for power and control, in my interpretation.
Senator Armstrong, from Metal Gear Rising, because, well, have you ever played Rising? He's insane, as a villain mind and as a politician. lol
InSaintMonoxide: Natla from Tomb Raider
She's very smart and, even if her concept is simple, it just works as a Lara nemesis.
Baanda, from a indie game called Raindancer, because of her backstory and why you fight her. The scenery of the fight is just emotional and epic imho.
Alvin, from the first The Witcher game. His story is just so well written, and when you [spoiler]fight him as the final boss, and he realised he became the monster he wished to fight agaisn't, it's just awesome.[/spoiler]
I might have more villains I liked from the PS1 / PS2 era, but can't remember right now.
Onimusha series also had good villains imo.