On television, I'm quite fond of the Daleks. The menace, the creepy factor (the silently gliding along thing...), the fact that they used to be humanoid themselves, their utter utter opposition to anything unlike them, the racial purity thing, all serve to make them thoroughly credible and evil villains.
In film, Darth Vader, no contest. The design aesthetic, the breathing sound effect, the final redemption, the voice. Totally cool. Also, I quite like the film depiction of Voldemort, which despite the CGI and make-up, is largely down to Ralph Fiennes playing the part superbly. Utterly creepy!