Loki is a favorite villain for me because he has so many masterful scenes in his movie appearances. As others have said, his confrontation with Odin about his origins in the first Thor movie was an amazing bit of acting. In both the first movie and TDW, Loki's interactions with his fellow Asgardians were done well and helped establish the kind of person he is and what his motivations are. And he was quite a standout antagonist for the first Avengers movie. His very first scene, where he arrives at the SHIELD base to steal the tesseract, immediately presents him as menacing, crafty, and charismatic, which sets things up perfectly for him to be an effective antagonist for the film.