Kane is my favorite. Few series had such an iconic villain spanning several games. Shodan was good too. I also like Bosch from Freespace 2 and Kreia from KOTOR 2 (not exactly a villain, but kind of).
I might think of a few more, yet...Kyros - Tyranny (they really need to make a Tyranny 2, damnit)
No one is going to mention Dr. Breen from Half Life 2?