So really, the OP can be divided up into four different categories.
Who is your personal most favorite villain?
Artemis Entreri. He not only made a great foil and contrast to the primary hero of the series (Drizzt) but was extremely competent and fun to read in his own right. Bonus points go to Jarlaxxle of the same series, for the same reason.
Obviously, I approve of this answer --- but if I were to pick my personal favorite villain, I'd probably have to go with Hans Landa. The scene in the beginning where he breaks a man with polite conversation over a glass of milk is chillingly powerful.
Who is the best all around villain, in terms of competence, success, evilness, and the corruption of all that is good?
Hannibal Lecter - He fooled his closest allies for decades, and was playing both sides even when he was 'helping' the law. Ultimately he made everyone his puppet and turned their good intentions toward his own ends.
Who is the monster that induces the most terror in you when you think of meeting him in a dark alley somewhere?
Cenobites (Hellraiser) - Most monsters will just eat you, kill you, dismember you or something relatively quick. The Cenobites leisurely reshape you into their image in the most painful, torturous ways imaginable.
In an epic battle of villains, who would come out on top?
Asmodeus. In the two most major known versions of him he's a brother/counterpart to the creator god, as opposed to the Christian devil, whose good corollary is Michael. (For that matter, if one really parses out Christian theology, in essential terms the god(s) presented therein don't really surpass much more than a regional influence.) He's implied to perhaps be the most powerful being in the universe; and even if certain gods - in just about all literature, religious traditions, and so on - are more "powerful" few combine that amount of power with that sort of cunning.