Probably Freddy Kreuger. I just wrote a whole damn essay about it elsewhere. But in short: I love that he's just so gleefully evil. He's having fun with it--he's just fucking around with his victims. That's why I love the stupid puns and jokes--this is clearly just one big GAME to him. An EASY game. Jason and Michael had some revenge motives, but after the first installment, Freddy's not out for any specific revenge. He's just doing all this for the sake of enjoying himself.
That's evil!
I also love Randall Flagg, from Stephen King's books, for similar reasons. I've always thought that if there IS a devil, he's not some oogie-boogie horned demon--that he'd be charming, handsome, and disarmingly chummy. Like Flagg. And when he's got your defenses down, he'll destroy you utterly. Or make YOU destroy yourself from within.