There are a couple of villains who are so evil that I can't even call them "favorites," but they stand tall in the history of villainy: Sauron in The Lord of the Rings, and the Joker as played by Heath Ledger. Creating a unique and memorable villain is a huge part of writing a successful story.
One early villain in English literature was the Vice in medieval morality plays. These dramas taught morals to a largely illiterate public by placing actors in the roles of allegorical qualities. The actors playing Virtues attempted to lead a man to salvation, while the actor playing the Vice tried to lead the same man to damnation.
Here, Kurt Schreyer offers a concise description of a medieval Vice figure:
Kurt Schreyer, "That Reverend Vice"
"...The problem with most morality plays... is that the villains are almost always more exciting than the champions of decency." --Peter Rainer, Christian Science Monitor
Ain't that the truth? And isn't that part of the problem with Vice, in general? Why do we fall for it? Because at first, all kinds of vice (drinking to excess, smoking, gambling, pornography, etc.) seem exciting and fun. Over time, the vice that first appears to be a handy servant of our pleasure can grow into a tyrannical master.
From the example of the morality play, we can learn a useful strategy. We can create great villains by making them exciting and fun. Their fair faces will seem all the more foul when they reveal what lies beneath them.
The Vice figure is only one kind of excellent villainy, of course. Here's another very thorough article on what makes a good villain. (They include non-human antagonists like "drugs" and "aggression.")