Ah, but the best villains don't always consider themselves such!
A few of my favorites:
Bob Roberts, as played by Tim Robbins
Keyser Söze, whoever he is
Richard III, even though he declares himself a villain in Act I, Scene I. Even though I disagree with his theory about the character, Ian McKellan's performance is the standard here.
Macbeth too. Shakespeare wrote good villains.
Cthulhu, of the Lovecraftian mythos and South Park.
Robert E. Lee, a good man who chose loyalty over conscience.
Bad Locke. Before he turned, Benjamin Linus.
Before he turned, Spike from Buffy. Even more so, Angelus.