At the risk of sounding old-fashioned here (and of repeating myself, since I think it's come up in all three of my posts so far) I'm going to have to say Shodan. Not just from Shock2 but from the original - she was already established in the second one so was tremendously arrogant, but in the first one she was just plain creepy (though Shock2's ending takes the cake, the plate and the whole damned table).
Now, to show some sliver of originality (because I need a break from Shock2), some others:
Kafka from FFVI - at least as detestable as Sephiroth, more wily and that EFFing laugh of his... (Abridged series fans should know the pronunciation of "EFF" in this case). Never before has a 2-bit laugh made my skin crawl so much.
Moebius from the Legacy of Kain series. Any game, take your pick, but obviously best if you've played all of them. Cunning, manipulative and just a little bit mad, he even manages to make his presence felt despite spending much of his time dead (that's not really a spoiler, just for reference). And of course his story has probably the most satisfying end of any of the LOK characters. Well I revelled in it, anyway.
Raziel and Kain from same - Moebius is just awesome enough to warrant his own mention. Hell, any of the main LOK characters, from Kain and Raziel to Vorador and Janos, even Hash and Umah. All well-thought-out, well-developed and of course, well-voiced (Bell, Templeman, Jay and Auberjonois). That reminds me, Elder God, though he has a couple of inconsistencies I'd like explained.
Cortana. Come one. She was essentially Master Chief's personality, only portable.
Durandel - all the personality and playfulness of Cortana with none of that "saving Humanity" stuff. Quite an achievement when you consider he never even had a voice actor.
I could think of some others but that'll do from me.
S demo pushed me away from the whole series for ages). But yeah, once you know him, he's awesome.
