In film it has to be Rawhead Rex from Clive Barker's film of the same name. In video gaming, the Land Dreugh (or "Billies") in TESIV: Oblivion. In books, the Cenobites of Clive Barker's "The Hellbound Heart" and of the Hellraiser series.
If I'm going down the horror film route then would have to say The Djinn from the Wishmaster horror series - Only Wishmaster 1 and 2 though (actor changed for the others in the film franchise). What he does is so horrific (and sometimes really grim) but he has such charisma you can't help but like him.
The idea of a twisted genie that bends your wishes really resonated with me.
Hey you guys out there. What is your favorite Villan, bad guy or Monster. For me, number one has got to be The Joker, from The Dark Knight. It's errie to think that after Heath Ledger played that character died...That...