Honestly, my favorite villain (because of the iconic/cult status he has achieved in our particular circle) is from "First Steps Part I: In Service To Lore".
He killed my very first character the very first time I played him. I've since gotten revenge with another character, but no vengeance shall bring back Mordo Twinstar, the idiot Half-Elf Rogue who split the party and charged the boss. (This is also the source of my avatar name.)