Falstaff--He's so beloved a character it's hard to keep in mind that he really is a bad guy.

Long John Silver.

Heathcliffe of Wuthering Heights (well, a fascinating bad guy anyway).

The Godfather in both the Deniro and Brando incarnations, and Robert Duval's Hagen.

Loki the trickster from Norse mythology.

Any villains played by Christopher Walken or M. Emmett Walsh--or Orson Welles.

Morgana le Fey

Vittoria Corombona in The White Devil

Irene Adler in the Sherlock Holmes stories, though she doesn't actually show up much.

Sorry to rattle on, but there are so many!