Quite a few come to mind:
Donkey Kong - The first real villain. You feel like you are battling King Kong on a skyscraper.
Mario - I love that they made Mario the villain in Donkey Kong Jr. They don't do anything quite this bold anymore.
Metroid - The first time I really got scared in a video game was the first time I encountered a Metroid on the NES version.
Dracula - He's a great villain period, gaming or otherwise. He's a villain that transcends any one medium.
Big Boss - Metal Gear on the NES was a decent game, but I really love the twist about who the real villain was.
Mike Tyson - When the NES Punch Out was released, he was the undefeated heavy weight champion. On top of that he knocks you out with one punch.
Link's Shadow - After beating the final boss of the final dungeon in Zelda 2, you have to fight an even tougher boss: your own shadow.
Kefka - He may be the greatest villain on this list. If you've played FFVI, then you know why.
Sephiroth - A villain to rival Kefka. If you've played FFVII, then you know why.
Delita - FF Tactics has several great villains, but Delita may be my favorite.
Stan - Okage has only so-so gameplay mechanics, but the story and characters are awesome. And Stan, the evil king, is the best of the lot.
GLaDOS - It's true. This robot has a lot of personality.
Selvaria - She's the Valkyrie from Valkyria Chronicles. She's invincible and you have to face her on the battlefield anyway.