The ne plus ultra of the genre, Taxi Driver.
Brad Pitt in Kalifornia
Quentin Tarentino’s character in From Dusk 'til Dawn was just as loathsome as the vampires.
Reese Witherspoon as Vanessa in Freeway (just about everyone is psycho)
Damian from The Omen
Robert Mitchum in Night of the Hunter
You beat me to it. I think this is a perfect example of what the OP is looking for.
Great call, I wouldn’t have thought of it on my own. Her best role by far, btw. Those HBO Originals are consistently top-notch. “Why you hurtin’ all those girls, Bob?”
I’d also add pretty much any character from Requiem for a Dream.
The main french guy from Killing Zoe.
James Van Der Beek (sp?) from The Rules of Attraction.
That’s all I can think of at the moment.
Are you sure? I seem to remember that she never felt much for either Tony or her husband, and only seemed to be in it for the drugs and the money.
Except for the old woman. I felt pretty bad for her, unlike the other 3 characters.
Anyone remember “Over the Edge?”
Cobb – in it, Ty Cobb is a racist, foul-mouthed drunkard, a would-be rapist (if he hadn’t been impotent), murderer (that’s been disputed, but it was his claim) and all-around unpleasant character who everyone hated (though he did give Mickey Cocharane a new suit).
Bad Santa.
James Spader’s hit man character in 2 Days in the Valley. It’s really more of an ensemble movie, but Spader’s character in really a jewel. He gives his victims 60 seconds to say a prayer before he kills them and then coolly counts down the seconds. Even worse, his girlfriend (a delicous looking Charlize Theron) gets gut shot and he lets her die in a hotel room because he doesn’t want to take time to drive her to the hospital.
Pitt in Kalifornia is about the best answer to this question though.
Charles Willeford. Miami Blues was the first of a series of four (I believe) novels featuring the detective Hoke Mosely. They’re not bad.
But you gotta go back to Willeford’s pulp stuff from the fifties. You want twisted, weird sociopaths? You want black humor? Forget Jim Thompson. Read The Black Mass of Brother Springer, for a truly sick take on the civil rights movements. Wild Wives, High Priest 0f California and others are truly awesome. They’d make great movies, too, but I’m not aware of any ever having been made.
Harvey Keitel in The Bad Leiutenant
You beat me to it. It’s the first thing I thought of when I read the OP.
Gary Oldman’s character in Leon.
Ichi the Killer is crawling with irredeemable psychos, as are several other films by Takashi Miike.
I would also second Man Bites Dog, and Henry portrait of a serial killer.
Denzel Washington’s character in Training Day - oh my god, I could hardly sit through that movie!
Sid and Nancy
Romeo is Bleeding
Dracula
Just about every other Gary Oldman movie
Fair enough! 
I sometimes wonder if he’s acting, or if he really is a nutter…so when directors get a script what requires a madman, they just give him a shout.
Well, he’s one of the best villain actors (along with Christopher Walken and Alan Rickman!). Oldman will also do the voice of a new villain in Star Wars Episode 3, but he’s playing a rare good guy in next year’s Batman Begins–a young Lt. Jim Gordon.
I hate to say it, but beating the crap out of those bullies raised him a peg in my book.
What? No one has yet mentioned -
'the Texas Chainsaw Massacre"?
“Halloween”?
“Friday the 13th”?
“Nightmare on Elm Street”?
I think Leatherface, Michael, Jason & Freddie all qualify as being psycho a**holes.
Seriously though, for some examples of females of the genus "psycho-us aholicus",
check out -
“the Grifters” (for Angelica Huston),
“the Last Seduction” (Linda Fiorentino),
“One Flew Over the Cuckoo’s Nest” (Louise Fletcher)
“Whatever Happened to Baby Jane?” (Bette Davis & Joan Crawford - both of whom portray characters who are psycho aholes as well!)
or my personal favorite -
“Hush, Hush Sweet Charlotte” (again with Bette Davis).