Oddly enough, my favorite is actually Kang the Conqueror. I love the various twists and turns his life takes as a time traveler, and I also love the dynamic of his constantly creating new timelines from his time traveling schemes which in turn create multiples of himself, and then each of the multiples trying to kill each other because they each believe they are the "real" Kang and should be the only one. I also really like the dynamic involved when his future self, Immortus, constantly attempts to turn Kang into him so that he will eventually exist, while Kang hates and never wants to become Immortus and fights against him.
Aside from Kang, I really like Thanos, and I like Lex Luthor when he is in his "evil businessman" form, but not when he is portrayed as simply a mad scientist-type.