Alright, I'll leave out non-human villains like the shark in Jaws, the avian monsters in The Birds, Carpenter and Bottin's version of The Thing, and groups like the Crazy 88 or monsters-as-metaphors-for-anarchy like zombies. The basic appeal for all of these are that the actors performances were all spot on, the villians were complex, repugnant yet fascinating, and forced the viewer to identify or at the very least care about their fate.
Alex- McDowell creates a nightmarish walking metaphor for the examination of whether free will exists or not.
Elle Driver- It's a close match between O-Ren Ishii and Elle Driver, but Hannah's eyepatched ****** has a slight lead here. She steals every scene she's in.
Max Schrecht- The best Dracula ever (well, Count Orlock): he's repulsive yet fascinating.
Anton Chigurh- Amazing novel adapted into a nearly perfect film. I'm a McCarthy and Coen Bros. fanboy so I'm biased, but Bardem nails the villian and is terrifying.
Buffalo Bill (Jame Gumb)- I do love Hopkins but I'm in a minority here when I say that Levine's Buffalo Bill was far scarier and more disturbing than Lecter; Levine's performance was just far more compelling than Hopkins'. Maybe it's Hopkins' sequels where he basically creates a parody of his character that sours the original....
Travis Bickle- My favorite Scorsese film. The best big screen anti-hero. Bickle is clearly mentally ill, yet forges ahead on his violent mission thinking he's a hero.
Frank Booth- Hopper's masterpiece. He's just as intimidating and frightening on every viewing.
Leatherface- Captures all that is wonderfully ugly about 70s horror.
I'm leaving out so many like Sid Haig as Captain Spaulding, Omar or Ralph; Dunaway and Beatty as Bonnie and Clyde; Pinhead; Herbert West; Tim Curry in Legend and Rocky Horror'; Satan in Haxan...