Willem DaFoe does a pretty darn good job.
Other than that, Christopher Walken gets the Ultimate Bad Guy award. Even when he's dancing around singing Christmas Carols he looks evil.
Steve Buscemi just looks, well, sketchy...not so much evil.
Gary Oldman is good too.
*edit*
Crispin Glover gets honorable mention for his role in "Willard."
OMG. Creepiest movie EVER.
*edit again*
Robin Williams also gets honorable mention for One Hour Photo and Insomnia.