Denis Leary was a great badass in Suicide Kings, as well as playing the villain in Judgment Night.
Ben Stiller and Jim Carrey come to mind for several of their roles, but even their psychos and villains are usually played more for laughs. That said, I think they’re both good in more “straight” dramatic roles.
LifeOnWry, was Blueberry/Renegade any good?
Steve Martin in Little Shop of Horrors.
It had some really striking moments, but taken as a whole I’d put it in the top 10 of worst movies ever. The few good moments were made that much more striking by the fact that they were surrounded by utter crap, and vice versa. The sheer craptitude of the whole made the good moments seem very out of place.
Wow, thanks for the warning! I almost bought it, sight unseen, because I found it in the $5.50 DVD bin at Wal-Mart. But when the cashier rang it up for me, it came up as $20, so I walked away without it. Now I’m glad I did!
It’d be worth the $5.50. I wouldn’t pay $6 for it though. 
Paul Reiser in Aliens
Don Rickles in Innocent Blood
Bill Murray in the DeNiro film Mad Dog and Glory.
Somebody already mentioned Alan King in general, but I’ll add him in The Anderson Tapes.
Billy Connolly in Boondock Saints.
Not many people know this, but Kevin Spacey started his career as a stand up comedian. So he could be included for Seven and possibly K-pax, but that’s left unclear.
Oooh! He’s in that? I’ve been meaning to check this one out for a while, since it’s been highly recommended, but you may have just bumped it to the top of my list. I love Billy.
One more great Kevin Spacey badass/psycho role: The Usual Suspects.
But Spacey is very funny, with a great ear for impressions (his impression of Christopher Walken auditioning to play Han Solo in Star Wars is classic), deadpan delivery, and natural comic timing. He’s also a good singer.
I can’t find the cite above, so forgive me if it’s been said, but Alan King in Stephen King’s Cat’s Eye.
:smack: How could I forget that. That’s one of my favorite movies. Shows you what happens when you work overtime for a month.
John Leguizamo has played a number of psychos, including the Clown from Spawn and a criminal in the recent Assault on Precinct 13.
Leslie Neilson in **Creepshow[/b.
Michael McKean, “Lenny” from “Laverne and Shirley” as the Evil Clown on the Star Trek: Voyager episode “The Thaw”
Wasn’t it Leguizame who killed Pacino in Carlito’s Way?
We tend to forget this now, since Neilsen has had a second career as a comedian, but when he made Creepshow, he had appeared in Airplane, but I think that the TV show Police Squad!, the Naked Gun movies, and all the other things that followed from that (Re-Possessed, energizer bunny commercials, Space Oddity, etc.) were in the future, and Neilson wasn’t really a comedian. As Zucker, Zucker, or Abrams said of Neison (I can’t recall which of them), “We took a perfectly good actor and ruined him!”
Joe Piscopo has done several excellent bad guys on the various L&O shows.
And I was watching Con Air on TV recently and was delighted to find a not-yet-famous Dave Chappelle as one of the psychos on the plane. But his character was a pretty minor-league psycho compared to Cyrus the Virus and friends.
Charlie Chaplin in The Great Dictator.
Wallace Shawn as The Sicilian in The Princess Bride.
Christopher Lloyd as Commander Kruge in Star Trek III, and as Judge Doom in Who Framed Roger Rabbit?