Out of all Marvel's villains, Loki is their best developed. All of the others are generic "bad guys" with little characterization.
That said, he was really only well written in the first Thor. In Avengers he was just another one-liner spouting cliche, like the rest of Marvel's villains, and in TDW... I don't know what his role was supposed to be in that film. He didn't have much of a part in that film, and when he was onscreen it didn't feel like the writers knew what to do with him.
Vanko was close to being great, but it felt like he was in a completely different film when he was onscreen. It's never more apparent than in the jailhouse scene, when his and Tony's dialogue are so diametrically different.
Malekith is easily the worst of the MCU. I'm not sure what his actual screentime was, but he didn't have much of a presence in TDW and he never felt like a threat. I don't even really know what he was trying to accomplish or why. He was just a non-entity created for the sole purpose of having something for Thor to hit.