My favourite non-movie villain is Raskalnikov, in Doestoevsky's "Crime and Punishment".
He is so human, and so disturbed. He believed in an idealisitic way that it was alright for him to murder an old woman because she was of no use to anyone but herself. He also robbed this old woman, and justified it in one of the most twisted philosophical expositions ever written in literature.
It's a great piece of writing. The sad part of it is, most of us can recognize some aspects of Raskalikov's personality in ourselves, though most of us will never ever murder anyone on that account.