I really prefer a 'baddie' that is more than just the usual evil megalomaniac. I think that it's harder to portray a bad guy that is well balanced and multi-layered.
Off the top of my head, I'd vote for Isladar, from Michelle West's Sun Sword books. He is the son of evil, yet he has another agenda than just world chaos and destruction. Actually, the way his character is written almost makes me feel sorry for him. It's much more interesting when the line between good and evil is grey.