Skeksis (The Dark Crystal) The divine four (Treasure of the Rudras/Rudra no Hihou) Alexander (Bahamut Lagoon) Sauzer (Bahamut Lagoon) Jenova (Final Fantasy VII) Hedorah (Godzilla series) Destoroyah (Godzilla series) Space Godzilla (Godzilla series)
I prefer the reluctant hero. Richard Cypher, from Terry Goodkind's Sword of Truth novels is a perfect example. He is more or less dragged into the role of hero, and fights evil in many forms, at first because he has little choice in the matter, and later out of a sense of duty. (And, of course, to protect his friends and his beloved Kahlan.)
It really depents on the story. Arthas Menethiel from WOW for example is a absolute striking villain. He's one of those bad asses I can relate to. But the same would work on a hero like Drizzt Do'Urden or a neutral char like Rincewind. It's because I know how they were suffering and I can relate to them. I know they're story. I can't relate to a monster, which is just murdering, because it don't knows what do with itselfs. It's boring, if there is no reason, why it's bad. That's the same with a hero...
Villains are what really make a story stick out. If they aren't any good villains in a story, then the heroes won't have any reason to be heroes.
Plus, the bad guys are crucial in a story! No bad guys = no heroes = no story. Would LotR exist without Sauron? Or would Batman's adventures be quite so fascinating if it wasn't for the Joker? Or would Sherlock Holmes show us just how absolutely brilliant he is if there weren't other simply brilliant criminal masterminds out there?