The Joker (all versions)
Just an amazingly captivating and rich character, and for me has always been infinitely more enjoyable than Batman as a character.
Keyser Soze
My favourite villain, excluding The Joker. To me this guy is what The Joker would be in the real world - manipulative, just a shadow of a man, like smoke, with an almost paranormal talent for crime. An excellent performance, which made me start to pay attention to Spacey as an actor.
Hannibal Lector
My third favourite, with similar attributes as mentioned for the two above. The performance is one of my favourites ever. Truly captivating and evil, yet with plenty of humanity just below the surface.
Agent Smith
It's the
smell 
This guy has soo much personality, and throughout the film you see the cracks start to show as he is influenced by the plot and the characters that fill said plot.
Darth Vader
To enjoy this guy now I have to forget about how the prequels have turned him into a lil bit**. No, George, the story should not be about him. Admit it, you made that up to sell your sh** to the masses.
I need to point out that what makes a good villain is having an actor who has persona and weight. Obviousl, you need a good writer for that too, along with a good director.
So what I'm saying is that a villain can't just do evil things to make a legitimate threat. He needs to have gravity.
For example, The Joker from the Dark Knight is a complete mystery but he's well development and you can see where he's coming from, despite how twisted his idelogy is. With that being said, the villains from The Transporter 2 or..XXX are evil men, but they're so hallow and empty that they end up being generic.
Excellent post and I completely agree. Also, like I said about Agent Smith, I think great villains should not just influence events but be be influenced by them and have their own small arc within the film, which is the case with every villain I mentioned to some degree.