As far as comic book villains go, my favourite is Magneto by far. There is such depth and even ways of seeing him as the hero in X-Men that are not really paralleled in the rest of the Comic Universe (which prefers to depict villains as 'villains' in general).
Magneto came from a Concentration Camp as a Jew. He had seen the world from the perspective of someone persecuted by human authorities from a young age through to adulthood for simply being what he was; A Jew at first, a mutant later. His mother was raped, beaten and he was powerless if not for his mutant capabilities (which were still weak back then in comparison to his later years). He saw how utterly bad it was to be powerless, when against powerful evil, and decided to become powerful in order to stop them. The reason he became a villain was because he refused to ever consider that humans being in charge could ever result in a good endgame for the mutants and in fact he was proven correct again and again, even being the singular reason that the X-Men weren't annihilated by human authorities at 2 points in the storyline.