Chigurh in No Country for Old Men is, in my opinion the perfect villan. He is not explained, he cannot be reasoned with. He is fate and he is chaos and there is no way you can stop him. He's barely a human being, more of an elemental force of nature.
On the other hand, Milton's Satan is perfect as well. Unlike Chigurh, we see his motivations, we know why he is the way he is. In the opening books of Paradise Lost, when he is in hell surrounded by his soldiers he seems the height of nobility.
During book 1 he is raising their spirits after the greatest defeat any army will ever face. ARISE, ARISE OR BE FOREVER FALLEN. He is dashing, he is noble. He seems the perfect military commander. You think to yourself, man, I would follow this guy into battle (he's so good we forget that their sitting around the lake of fire)
In book 2 Satan's more manipulative side comes out. During the debate into what to do he subtly steers to the course he is set on. It's so subtle that you don't notice it unless you're looking for it. He makes the fallen angels think he is great because he is democratic. Of course he's nothing of the sort. He is just eclipsed by rage and hate at God. Still, you would walk through fire for him. Satan presents himself as the liberator, the one being that has the stones to stand up to that asshole God.
So convincing is Satan's portrayal during these first two books is that Philip Pullman writes His Dark Materials (A quote from book 2) as a new war in heaven between a new Satan for the freedom of mankind from tyranny. Of course, he's mistaken, Satan is motivated by malice and hate, not love and ideals. As the poem progresses Satan's true nature becomes more and more obvious (his first sight of Adam and Eve is fantastic in his expression of pure malevolence and jealousy at their happiness), in the end he is just a vicious snake, biting at himself for eternity.
Yeah, Satan is the best villan. He's pretty 'over the top' though. He's the prince of darkness. In Milton everything is writ large.
Mr. Kurtz in Heart of Darkness
Kurtz isn't the baddie in Heart of Darkness, mankind itself is. I maintain that he's the sanest character in that entire book.