The Joker (Tim Burton's Batman and the Dark Knight)
Pious Augustus (Eternal Darkness: Sanity's Requiem)
Walter Sullivan (Silent Hill 4: The Room)
Makoto Shishio (Rurouni Kenshin)
The Loc Nar (Heavy Metal)

Honorable Mentions:

Captain Martin Walker (Spec Ops: The Line) - depends upon the ending, but in truth as you play the game, you begin to suspect the real villain is Walker and not the Colonel.
Max Cady (Cape Fear)
Jigsaw (SAW series...if it counts)
Officer Frank Tenpenny (Grand Theft Auto: San Andreas)
Edge/H30 (Remember Me)
The Horseman (Metallica: Through the Never)
Lavona Succuboso (Metalocalypse)