Kefka is the ultimate villain. He actually succeeds in blowing up the world, has a cult formed around him, and a huge badass tower. He's completely psychotic and the embodiment of chaotic evil. What more could you want in an awesome villain?
FF games aside, I also love Jon Irenicus from Baldurs Gate 2. He's an extremely complex, intricate villain with a self-mutilated body infused with magic. He performs torture and grotesque experiments on creatures, including your main character hero. I don't want to spoil anymore about him but he's an awesome villain and character in general. If you're into RPGs but haven't played Baldurs Gate 2 I highly recommend it.