I'm surprised to see this thread resurface; keep reading, KHI!
Now, let me scan through my bookshelf...
- Pyotr Stepanovich, from Demons, is just another great Dostoevsky villain. I don't think I've seen a better-executed two-faced scoundrel.
- Prospero of The Tempest is one of my favorites, despite what some may say about his sudden change-of-heart. When played/read correctly, that moment is a perfect climax to the story.
I can't think of any others at the moment, partly because a few have already been mentioned (Daisy, Gatsby, Bilbo Baggins, Milton's Satan (who is far from an anti-villain)). I really enjoyed The Things They Carried, but can't remember any individual characters very well. Freak the Mighty I remember even less -- but mentioning it stirs up some nostalgia.