My favorites in general are your classic tragic villain where stuff happens to them outside of their control and sets them down the path and at some point they realize what they have become and either fully embrace it or do some last minute sacrifice to kinda redeem themselves. Then there are the villains that think they are the heroes and think the heroes are the villains. Those can be good too if done well.
As much as some people dislike her, I think Sylvanas is the closest WoW has to a true tragic villain considering where she started out, what happened to her, and where she ended up. There are several examples of ones who think they are doing the right thing and we just don’t get it.