I'd have to say that Khan and Gul Dukat are my favourite Trek villains. Weyoun was also quite interesting., as was Brunt (pseudo-villain?), also played by Jefferey Combs. Kai Winn was also a rather evil character as she was rather manipulative and patronising - a villain we love to hate .
Kang, Kor and Koloth were also pretty epic villains.