*facepalm* Yes, of course, how could I have forgotten Arthas?! The living proof that a game can essentially be about classic tragedy.

And the Thief series. Victoria, Karras, Gamal.

In no particular order:
Vladimir Lem - Max Payne 2
Alessa Gillespie - Silent Hill (though I suppose she might be called an anti-villain)
Director - NOLF2
SHODAN - System Shock 1 & 2
Elder God - Legacy of Kain
Kuja - Final Fantasy IX
Sephiroth - Final Fantasy VII
Jacob McAllen - The Longest Journey
Kane - C&C
Michael Roa Valdamjong - Tsukihime
Diy - Utawarerumono
Kotomine Kirei - Fate/Stay Night

Eliphas had great quotes in Dark Crusade - "Only I can hear your prayers here my friend. And I'm afraid I will not answer them".
And then DoW2: Retribution came out. And suddenly he started saying things like: "An ambush! We are finished!" after being attacked by a bunch of scouts.

Not really a villain but an antagonist in one of his games - Kain definetly deserves a mention (yes - it was obvious that I would mention him :P).

And obviously SHODAN.

Kain is the first person the thread title made me think of

I wouldn't consider Kain a villain. Heroic Sociopath probably or an Anti-Villain at worst. If the creators ended the series with Soul Reaver as they intended, then yes, he would have been a villain. Due to the changes in the storyline that doesn't fit him anymore in the long run.

And the fact that many fans (myself included) don't consider him a villain despite his genocidal tendencies just proves that he is a great character.

darksol- shining force
baal,diablo,mephisto-diablo 2
liquidsnake,decoy octopus,Vulcan raven,sniper wolf,Psycho Mantis,Revolver Ocelot- metal gear solid 1
Sephiroth- final fantasy :X HATE HIM
LeChuck- monkey island
goro- mortal kombat
Team Rocket- most of the pokemon games had them back then
GlaDOS- portal 1 &2

If we are mentioning Consoles then:

Craymen - Panzer Dragoon Saga
Lan Di - Shenmue
B.M. - Fighting Vipers
Jecht - Final Fantasy X
Iori - The King of Fighters
Geese Howard - Fatal Fury, The King of Fighters
Gouki/Akuma - Street Fighter
Starkweather - Manhunt
Solidus Snake - MGS2
Eggman - Sonic The Hedgehog
Gannon - Zelda
Mother Brain - Metroid

Think we are forgetting the Elder Scrolls series best villain, Dagoth Ur!

Supposedly the spreader of disease, terror, death, and destruction. The evil incarnate, the devil himself in Morrowind.

.... Who can be killed with 2 swings of an un-enchanted weapon.

Epic for being such a let down.

Von Karma - Phoenix Wright: Ace Attorney
Kefka - Final Fantasy 6
Master - Fallout
LeChuck - Monkey Island
Fontaine - Bioshock

Fighting game villains that left an impression on me:

M. Bison - Street Fighter

Hazama - BlazBlue

Eve/ The Ultimate Being -Parasite Eve

Freedom Forces.....Nuclear Winter he might not be epic himself but he has an awesome theme song.

http://www.youtube.com/watch?v=J8bB90q8vz0

Frank Horrigan - Fallout 2
Shodan - System Shock 2
Constantine - Thief
Korax - Hexen ("You have played this game too long, Mortal. I think I shall remove you from the board!")
The Cyberdemon - Doom 1& 2
The Entity - Strife (it even has its own ending if you lose the final battle ;))

I don't recall that... Maybe different versions have different quotes? I remember
"You have been a thorn in my side for far too long, Avatar. Your two worlds will be crushed. Britannia first, then Earth. I shall parade you before their conquered peoples as the fallen idol of a pathetic ideal. I banish you to the world of Pagan. No one here knows of the [smarmy] Avatar [/smarmy]

One of the best Villian speeches ever. If I remember it correctly.

And Jon Irenicus and Saren are pretty badass. Rodrigo Borgia is up there also.

I'm sure I could think of other intellectual Villians a bit later as they are the best villians.

Karl