I like a villain that makes sense. He/she does his evil things because of a reason, and it is a good one. It is cool to understand why a person does absolutely cruel things, while still being able to hate them for it.
A good very recent villain is the Stepmother of Cinderella, played by Cate Blanchett.
A not good villain is somebody who kills for no reason, simply because he has to be established as being evil. A very typical and overused scene: Henchman brings bad news to his evil boss. Evil boss gets angry and kills the messenger. While it establishes a very cruel character, it always seems odd to me why someone would so easily kill one of his own followers - simply because you will have to replace that person, train somebody else, get rid of the body, yadda yadda yadda. I can't imagine a successful villain would operate that way.