Ooooh, Sian Phillips as Livia was also wonderful!
Tricia Helfer in the 2004 Battlestar Galactica reboot. Sexy, pouty, manipulative, icy, hot, and turning suddenly terrifying without warning. Devoted to God and in love with a human, her only other obsession is hunting down and destroying the human race. She’s a machine – literally!
Chiwetel Ejiofor was remarkably good as The Operative in Serenity, not least because the Operative KNOWS he’s doing unspeakably evil things, but has convinced himself it’s for a righeous cause.
Pete Postlethwaite as Sargent Obadiah Hakeswill in the Sharpe series. Utterly evil and crazy, and revelling in it; totally without a single redeeming characteristic - and magnetic.
“Be warned - when Obadiah’s up, he’s up like an animal!” 
Rachel Weisz in The Shape of Things
Scar in the Lion King. Absolutely owns every scene he’s in. (And yes, I realize he’s voiced by Jeremy Irons, who was mentioned up-thread.)
Ralph Fiennes as Harry - In Bruges
Christopher Lee as Saruman
Geoffrey Rush chewing the scenery as Captain Barbosa in POTC: Black Pearl
Henry Fonda as Frank in “Once Upon a Time in the West.”
Also Rush as Casanova Frankenstein in Mystery Men.
Daniel Day-Lewis has played some good bad guys (I mean, played bad guys well). Gangs of New York was a bit of a letdown overall, but Day-Lewis as Bill Cutting was absolutely mesmerizing to watch. It could be argued as to whether Daniel Plainview was a villain in There Will Be Blood, but it was impossible to ignore his presence.
Another vote for Rickman, but this time as the Sherif of Nottingham in the Kevin Costner Robin Hood movie. Easily the best thing about that movie. “Cancel Christmas”!
Additionally, I’d add Robert Knepper as “T-Bag” in Prison Break, the TV series.
Also, did I miss something or has nobody yet mentioned Anthony Hopkins as Hannibal Lecter in Silence of the Lambs as well as Heath Ledger and Jack Nicholson in their respective portraits of the Joker.
All this talk of Alan Rickman and no mention of "Robin Hood Prince of Thieves?
He called off Christmas!
Also, gotta throw the Q man out there from Star Trek.
Some great choices in this thread.
I’ll add Ralph Fiennes as Voldemort in the Harry Potter series. Sure, he chews up the scenery, spits it out, then chews it some more, but it’s a treat to watch. So much more interesting a charcter than goody-goody Harry and his friends.
Vincent D’Onofrio in The Taking of Pelham 123. Far more chilling than either Travolta or Shaw.
He was also good as The Bug in the first Men in Black movie. 
Tim Curry did a turn as a serial murderer on TV’s “Criminal Minds”. A nicely abhorrent physical characterization.
Ooh ooh! Dennis Hopper in Blue Velvet.
Great responses! A few more scoundrels and hellions I forgot:
More of a ‘bad girl’ than evil, but Rebecca Hall was loads of fun as Sylvia Tietjens in Parade’s End.
Dame Judith Anderson as Mrs. Danvers is Rebecca was unforgettably creepy.
Joaquin Phoenix as Commodus in Gladiator and Jane Seymour as Kate Trask in the East of Eden miniseries were also fun to watch.
Anyone who wants to put together a poll, as Zeldar suggested, would be wicked.
Anthony Hopkins as Hannibal Lector - only onscreen for some 12 minutes, but what an impression!
Hee – I was going to add this one. I revisit I, Claudius every other year or so, and while it’s quite lovely in general, John Hurt is electrifying. I never fail to crack up at his ‘Aren’t people awful’ comment to Claudius.