My favourite changes from time to time, as I am sure that every other member's favourite will to. It used to be Zant for reasons that I have explained many a time on this site.
My current favourite fictional villain is a crazy bastard called Zygmunt Molotch. He appears in a series of books from Warhammer 40,000 called Ravenor, although we are led to believe that he is dead for much of the first book a section of the second in the trilogy before we find out that he is alive and well.
Zygmunt appears to have died in the book 2 times, the first after being shot down in a helicopter, but even though severely burnt, he survives the crash. The he survives being attacked by an extremely powerful demon called Slyte (Well, it's host form). He manages to crawl away from that attack alive to, but only because of the help of a fellow cognitae (A family of people who were trained to be able to cause havoc in a matter of seconds).
The part that makes him my favourite villain is that in the 3rd book, Ravenor Rogue, there is a scene where he and a minder (a friend of his fellow cognitae) are talking in a small cafe. Just by sitting their, in a matter of minutes he manages to shake off any suspicion that mist arise from 8 sacrifice's he commits (for surviving the second time) by causing a 9th death, along with explaining how he could take down the entire subsector 3 or 4 times over.
I believe that he is a magnificant villain of great intellect and power to have read about, it's just ashame that his final death isn't so spectacular.