Oh wow, there are lots.
Ridley comes to mind, that guy is really fun.
But as for more involved villains, I love both Ganon(dorf) and Dracula. Liquid Snake intrigued me in the first MGS too, and who can ignore M. Bison? Well, I like many villains. If I had to choose one, though, it'd be either Ganon or Dracula. They're both too awesome to choose between though.