Having recently gotten through Bioshocks 1 & 2 again, I absolutely love the villains in those games. Ryan, Fontaine, and Lamb are all really well written characters who I can relate to in different ways. Ryan for his determination to achieve his grand vision, Fontaine for his absolute cunning and wit, and Lamb for her devotion to an ideology that's holding together the twisted community left behind by the failures of Rapture. Also playing through Resident Evil 4 & 5, I find myself respecting the hustle that Wesker has in his pursuit of global domination.
As far as other media goes, I tend not to watch too many stories that are black & white with their characters, so it's often hard to say who's a villain. I do have one example in Breaking Bad where I tend to go against the common analysis that Walther White did everything in the show purely for himself. Honestly, that's missing the whole point of the show which is to document how an otherwise stand-up guy can be pushed into becoming a ruthless monster in the pursuit of the resources he's been felt denied. Another example is the Joker from various incarnations but his variants from the Dark Knight Returns and Joker 2019 stand out the most.
There's also the classic Frankenstein's Monster from the original novel, but his movie incarnations are also really good. Always felt bad for the big guy. He didn't deserve any of that. On a similar note there's Sadako from Ringu where I feel like despite killing a lot of innocents, she's kinda totally justified in smoking everybody who watches her tapes.