Yagami Light from the anime Death Note is my favourite bad guy.
Yagami is in [final year of?] school, and is incredibly smart. Like, the smartest guy in the country or something. He's reasoned and logical (mostly). His father is a police chief, so he has a strong sense of right and wrong. He sees the world as being full of bad people. Criminals - murderers, thieves, rapists etc etc. Light acquires the power to kill people from afar, needing to know only their name and their face. Circumstances surrounding death can be manipulated. Combine all these factors and you have a brilliant demonstration of what happens when you give someone with good intentions and grand ideals (ridding the world of the bad people), ultimate power. Soon enough he gains a god-complex and people start dying all over the place - but only the bad ones, or the ones that get in the way of his vision of a perfect, evil-less world. So be good, follow the law, and you won't die. I feel Yagami Light mirrors Hitler in so many ways. One of the main reasons he's my favourite bad guy, however, is it is easy to relate to him and his ideals. I find myself sitting there going "yes, you're right, but you're going about it all wrong!". Watching it, you find yourself wanting him not to fail, yet you're also gunning for the guy trying to catch him and stop him. It's almost like being on both sides of WWII.
It's a brilliant story with fascinating plot turns. Elements that seemed so trivial in the early episodes become quite significant later on.