I find this one a difficult question to answer because I have often found that the most effective villain is one who is not neccessarily all bad - as with any good character there are many sides.
For example, Sauron's actions were for personal power, he was not always evil but had been corrupted by Morgoth and by ambition.
However, if you are looking for a simply evil 'baddie' then he, in LoTR, does come across as an evil, malevolent being - nothing more or less.
Saruman, on the other hand, is presented as a far more complex character and, IMO, a far more effective villain, as is Gollum. Perhaps it's that their evil deeds appear worse to me as I have a certain sympathy with their characters, and their evil hurts themselves as much as it does others.
Enough of my rambling! For pure evil the dragon Maur in Robin McKinley's 'The Hero and the Crown' has got to be one of the best I've ever come across. That feeling of 'something wrong', sort of oppressive until the source of the problem is realised and removed, penetrates the whole story.
And, of course, the wicked queen in Snow White! Does that count?
Oops - almost forgot Voldemort - 'he who cannot be named'!