What kind of villain do you want? Women run the gamut in literature, and reality (like Irma Grese).
I mean there's basically every woman above 21 in Disney films.
Biko Daitokuji is a favorite anti-villain of mine who comes from Project A-ko. A spoiled super genius (who's father looks suspiciously like Tony Stark) that builds assorted robots, mechs, and power suits to try and defeat Eiko (Who's parents drop hints they're Superman, and Wonder Woman) and win the affection of Shiko in a weird love triangle. The trio team up for the greater good, but they still really don't like each other. I highly recommend the anime movie series. It's one of the few I went out of my way to get the boxed set for.
Scandal Savage, Knockout, Jeanette, Stryx (Sp?), Black Alice, and Porcelain (From Secret Six series)are not ones to call themselves heroes, and they're prone to do the right thing now, and then but are largely villainous mercenaries.
Among other DC Villains, Lady Vix, Catwoman, Superwoman, Cheetah, a long list of women in the yellow Lantern Corps, and Red Lantern Corps, Mogane Lefay(Sp?), Faora, Ursa, Nora Friez, Circe, Devastation, Lady Shiva, and so many others.
Personally, I like a villain we learn about, and can see traits beyond their acts. Redeemable qualities, and so forth. Harley Quinn's having a fantastic run.
There's Captain Phasma, though I'm kinda just guessing, here. Movie ain't out yet.
I've forgotten far more than I could ever hope to list. I wish I had the energy, and strength of mind to list them all. It'd probably be the longest post I've ever made. Can we narrow the field some?