I have too many favorite villains. I love so many either because backstory, personality, the simple fact they are from Mother 3, ect. But some personal favorites would be:
~Hades from KI:U. Many reasons have already been stated. He's funny, sarcastic, and just a fun villain. His dialogue is interesting and well written, and he's enjoyable to watch.
~Masked Man from Mother 3. I love Mother 3 a lot, because of the storyline and background to each character. And a lot of people know that Claus is my favorite video game character period. While not technically a villain, he is, and his fight is hard and his battle music is amazing and the way it's interwoven into the story is beautiful. While Porky may be the head honcho, the Masked Man in far superior in many ways.
~Cyrus from Pokemon. He was my first villain in any game, so there's that personal thing, and I think he's a pretty nice one. While he played on a lot of cliche's and had little depth, his dialogue was still written pretty well, especially considering he's a Pokemon character. Considering his concept, there was the potential for extreme cheesiness and for the most part, it wasn't there. Or maybe I can't remember it that well because it's been years since I played it. Oh well.