Donnie isn't exactly a traditional villian - hero story, and most of the characters are pretty villainess. At this point in the story though, I suppose AJ would have to be the closest thing to a villian.
A malicious, and sadistic kid who although spends a lot of time (in the story anyway) with the main character, is pretty against everything he's doing, and actively trying to get him to join her for her own goals.