Oh my, let me give you the short list...all of my favourite characters are villains...
Ardyn Izunia. Apparently, this character was created off the back of the idea of "What if Jesus was actually really pissed off that we killed him?" As a villain, Ardyn has done terrible things. But, as you peel back his story and bring it down from this immortal myth-like fallen messiah of a being, you discover Ardyn was actually the hero of the story before you. The same story that you the player are the hero of now was the story Ardyn was the hero of. He saved thousands of people at a massive cost to himself, and he was repaid with betrayal and death. He hints towards a larger power at play here too, which forces the player to question the very forces that selected them as "the Chosne One" character. FFXV was a flawed diamond, and while the story is amazing, the delivery is fragmented. Stay with it though, and you're rewarded with one of the best villains put to a story in any media.
Handsome Jack. What a villain. This guy 100% believes he is the hero and that you, the player, are the villain. The best part is that...everyone's the damn villain in this series. Jack does absolutely terrible things in order to achieve his goals, but he's very much a guy who thinks the ends justify the means. He never once doubts or questions his path, and the fact that he acts, looks, and is lauded like a hero by some makes him a really unique villain. In some ways, you can kind of see his point; at its base, Jack's goal is to make the world a safer place. His methods, however...well, they are terrible.
Ah, Loki. I loved him in the MCU. I loved him in mythology. I loved him in the comics. But I'm not going to pretend here. Loki from the Thor and Avengers films is my favourite version of Loki. As is a running theme with my favourite villains, he isn't just evil for the sake of evil. He's got a Tragic Backstory™ and made some Terrible Choices™ as a result. You can feel his torment and he exudes it to everyone else in the world's largest temper tantrum. He finds his smiles in chaos, and there's something awfully sad and, admittedly, pitiable in that.