While we're swapping out Satanses, I'd like to offer up my favorite.
Woland, the most-likely-devil from The Master and Margarita. The "Foreign professor (and exposer) of Black magic".
What I like about him is that he isn't some sort of muscular brute who is obvious in his desire to do nasty things to mortals. Rather, he is a mysterious, scheeming man that appears different to different people. He's just there on a field trip. Moscow under Stalin must be a very interesting place for a being so tightly knit to mortal spirituality.
Certainly, he and his crew of demons (and demonette and pistol slinging cat) cause quite a few incidents and fires, but it's mainly the Soviet bureaucracy doing the legwork. He's exposing the less dignified and base tendencies of the Moscovites, and seemingly having a very pleasant time doing it.
http://upload.wikimedia.org/wikipedia/commons/c/c2/%D0%9F%D1%80%D0%BE%D1%84%D0%B5%D1%81%D1%81%D0%BE%D1%80_%D0%92%D0%BE%D0%BB%D0%B0%D0%BD%D0%B4_%D0%BD%D0%B0_%D1%81%D0%B5%D0%B0%D0%BD%D1%81%D0%B5_%D1%87%D1%91%D1%80%D0%BD%D0%BE%D0%B9_%D0%BC%D0%B0%D0%B3%D0%B8%D0%B8_%D0%B2_%D0%B2%D0%B0%D1%80%D1%8C%D0%B5%D1%82%D0%B5.JPG
(Yes, it is a rather odd picture. But great, nonetheless.)
He is a competent Lord of Shadow, in all. I think that is something writers struggle with a bit, sometimes. Sauron from the first Peter Jackson film is a good example. Rather than an a plotting spider, he's "just" a towering monster asserting his power with naked, unrefined violence. Until someone manages to chop his finger off, that is.
Being the devil ought to be an occupation where you'd value brain over brawn, in all. Of course, not that there's anything wrong with going the World of Warcraft villain route either, it's just that the more subtle portrayal has more impact in the end.
(Captcha: goody two shoe. Well, bog off, Behemot, I'm a good boy, watchu gonna do?!)