My favorite villain (or at least ONE OF my favorite villains...I'm never decisive) is Elijah Price aka Mr. Glass from Unbreakable. If you haven't seen it, go see it. You bitch. It's an extremely slow-moving but deeply-psychological superhero movie about a guy who is just about invincible, played as himself by John McClane, and another guy who is McClane's polar opposite, a guy who can't stop breaking his bones, played by Mr. Mothahfuckah. It's good suspence and I don't want to ruin anything, but basically Elijah / Mr. Glass is sort of a mentor to McClane and makes him into a real superhero who saves a family from getting raped (literally, I'm not being gay or whatever) but Mr. Glass is deluded and obsesses over McClane being almost like a god.
Go see it, the ending is perfect, and I like the intrigue of Mr. Glass.