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While he's not actually my favorite, I'd like to put a word in for Golbez. Sure, he's kind of a Darth Vader ripoff (which only makes him more awesome, now that I think of it...), but he's also the only videogame villain I can think of who never loses to the player. Not once. At best, you manage to survive a fight with him, but in the end he still walks away from the battle with whatever his goal was.