Loki had way more depth than GG or REd Skull. But his cinematic characterization, while well acted and engaging during the film, is not very memorable. The scorned younger brother looking to prove himself as better than his brother through conniving to hide his own impotence and self-doubt. It all sounds very Shakespearian and that probably is because it is with Claudius from Hamlet. But the movie Loki is not Claudius or even Scar from Lion King. He was a good villain for that movie, but I saw the movie in May and his character is already becoming blurry to me.
As for Red Skull, to each their own. Hugo Weaving has played amazing villains before (Agent Smith), as well as anti-heroes (V). I thought Red Skull was a fun throwback to generic movie villains, much like Dafoe's hamming as GG. But Dafoe anchored it with real and meaningful relationships developed between him and Harry, as well as him and Peter. But I see your point. I do think GG is a more memorable villain than either of them, but that may simply be because he is based on a stronger character. Ironically, I'd say Loki is the best acted and most richly developed, but the slightest in memorable impact.