I'm going to list a couple of villains that have just freaked me out and try to analyze why. Other than the first villain, they are in no particular order.
Monster by Naoki Urasawa
Johan Liebert. He takes the #1 place as the scariest villain that i've ever experienced. The most interesting thing is that he didn't appear fully except when we were well into the series, and I only became aware that he was a 'monster' and became terrified of him when he began to cry in empathy with another character in the story. The brilliance of this character is that I always hesitated just a moment to long trying to figure out if he really was as harmless as he appeared, plus he was the kind of character that if he talked long enough, you just might realized life wasn't worth living after all.
Again, don't know if I just post the whole article as it's long. so just posting an excerpt. The rest with pics can be found at http://www.mythandmanga.com