I know it's cliche, but Sephiroth is kindof the classic FF villain to me. I think Shinra and the Turks are great antagonists within the story and I love the mystery of JENOVA.

I've only completed FFVIII but was 99% finshed with FFX before ragequitting and I didn't think that the villains or antagonists of those games were very strong. Additionally, I haven't completed FFIX yet, but Kuja doesn't strike me as a particularly nasty villain on the scale of bad guys. All he's done so far in my game is commit a bit of amusing mischief for no real reason.

So FFVII it is. Of the games I've played, the complete package for me, villain-wise.