I couldn't find some of the scarier shots, but these will give you an idea of the freakiness of them.
Stepping out of Doctor Who and into my next fandom of comics, I'm going to mention the Pied Piper, one of the Flash's villains. Ok, so Pied Piper reforms - and gets majorly screwed in Countdown to Final Crisis. But he started as a villain. I think it's his reformation and his strong character that make me like him so much. That and he's one of the first gay comic characters that I'd, personally, come across in my comics reading. But that's just me.
Sticking in the realm of Comics, yet also moving into movies, Loki in both Thor and The Avengers has to rank up there among my favorites. Even if he did turn one of my archers (Hawkeye) to the dark side, there's still something intriguing about him. He's Evil yet there's something that draws you in.
Next, traveling once again back to comics, is Lucifer from Neil Gaiman's Sandman. He helps set Morpheus on his path to destruction by giving up hell. He seems so reasonable as he's talking to Morpheus, showing the Lord of Dream the realm that he's gained. Personable, even. The following exchange shows that Lucifer knows exactly what giving the key to dream will do.
LUCIFER: Oh — Morpheus? I swore once that I would destroy you, did I not?He's such a perfect villain.
MORPHEUS: Yes. You did.
LUCIFER: Well, we are now outside the bounds of Hell… This is for you, Dream Lord. Take it.
MORPHEUS: The key to Hell?
LUCIFER: Exactly. It’s yours now. Perhaps it will destroy you, and perhaps it won’t. But I doubt it will make your life any easier. It’s all yours, now, Morpheus. You’re the sole monarch of a locked and empty Hell. Perhaps I ought to have given it to you with my best wishes. I could have told you that I hoped it would bring your happiness. But somehow… somehow I doubt it will.
— Season of Mists, The Sandman series by Neil Gaiman
I don't know if I have a favorite villain. As I've been trying to think of them while typing up my entries, I've been coming up with less than I thought I would. Could be that my brain still isn't cleared from being sick. Could be that most of the villains I like reform (much like Piper). But I do enjoy watching a good villain as much as I do a good hero.