Ramsay or the Night King? I guess they both qualify, but I'm guessing you're talking about Ramsay.
There's more than enough characters in that show that have the whole complex gray morality thing going on, so a few one dimensional characters don't really hurt the show.
I know I mentioned this in some long forgotten thread, but sometimes I appreciate a villain that just gets on with it without the angst.
I don't really need him to struggle with the inner morality of why he's doing something bad. It's either something that is serving a purpose to accomplish the goals, or he's just doing it because he can, he's enjoying it and there is no real deeper reason other than that.
Plus I'd argue there are a few glimmers of the occasional human side to him which make him less one-dimensional. Though in a twisted way (Wanting his dad's approval by excessively flaying a number of folks, thinking he's following in his footsteps, his Joker/Harleyquinn relationship with Miranda, getting insecure/agitated when he thinks he's potentially losing face, treating Theon like a "treasured pet" etc) but that's about the best you're going to get with someone like Ramsay.
It also helps that the actor playing Ramsay is doing a good job with the character (Well I think he is anyway) and he has funny dialog.