Is the Dexter series too obvious to mention?
Dexter’s Laboratory? If we’re getting into animation, my first choice would be Pinky and the Brain.
There’s Megamind, but the character-development would seem to disqualify it, especially as that’s what the story is all about.
Isn’t the Devil the main character in Paradise Lost? Better to reign in Hell than serve in Heaven and all that?
Scrooge in A Christmas Carol sort of fits. The story is of his redemption, but he’s a bad guy at first. And don’t forget that bitch Carol.
Gustave Flauberts Madame Bovary character was very nasty, and I remember loathing her as a young reader.
Honore de Balzacs criminal mastermind Vautrin, Jacques Collin, Tromp-la Mort - a heroic villain.
Steven Brust’s Taltos novels certainly fit the bill. The protagonist, Vlad Taltos, is a human hit man and small-time boss in (essentially) the elven mafia. The books are written in first person, and Vlad comes across as clever, engaging, and often sympathetic, but he’s unquestionably a cold-blooded killer. Most of his friends aren’t particularly nice, either.
Soon I Will Be Invincible, told from the P.O.V. of a supervillain.
I read that a couple of years ago - I just loved it. I borrowed it from the library - I think I’ll have to buy it so I can re-read it regularly.
Sergeant Malcolm Reynolds and his ragtag band of thieves, rebels and fugitives.
I supported Unification. 
I suppose, in a sense, The Simpsons could fall into this category. More often than not, the episode focus will be on Bart, the chronic mis-behaver, or on Homer, who’s usually portrayed as lazy, stupid, and self-centered. At times, Mr Burns will be the antagonist as being the “greater evil,” but more often than not, it takes the rest of the family to bail them out from the consequences of their villainy. And sometimes an episode will simply end with said consequences being suffered.
Blood Meridian
Arguably The Chronicles of Amber. At least, Corwin seems to think of himself as fairly villainous, at one point he refers to himself as an “evil that destroys other evils”.
The short story Local Champ by Spider Robinson. The main character is an extremely evil warlock who has tormented humanity for millennia.
Blade Runner
Although him realizing this is a big part of the whole film.
“V”, in V for Vendetta.
Also, many of John Sandford’s Prey series of crime novels (Winter Prey, Hidden Prey, etc.) often feature chapters whose focus alternates between the protagonist Lucas Davenport and the book’s villian (usually a serial killer or multiple murderer - and sometimes an abductor/abuser/killer of young girls or women). There’ll be a chapter or two where the focus is on Davenport and his thoughts and actions, and then one or two on the villain and his thoughts and actions. (It can be rather unsettling getting a look into the minds of such people and how they think.) This back and forth usually keeps up until the climax at the end where hero and villain finally confront each other.
The title character in the book Sir Apropos of Nothing isn’t exactly a villain, but he eventually realizes that he’s supposed to be the bad guy in a story about someone else, and decides to kill him and become the main character himself.
Villains by Necessity, where the protagonists are some of the last survivors of the forces of evil, who have to save the world from accidental destruction by the forces of good.
American Psycho.
Fight Club.