Personally I always enjoyed General RAAM from Gears of War, he was a terrifying monster and hell of a boss (Hell, he was even brought back in Gears 3 in a Campaign DLC)
But of overall Villians of Video Games I have to go with the Marker from Dead Space. While it was not a true Villian in the original (that really belonged to two other characters) but it was the main cause of all the hell that went on in the game and was a major villian in the sequal.