Honestly, ancient Jenova, from the little you learn about her, is my favorite antagonist in the game; she's like a more terrifying version of the monster from The Thing, supplanting and corrupting people as she slowly spread out among the world.

That said, Sephiroth, up until the Temple of the Ancients, is my favorite from the list. He is probably one of the most intimidating villains in the franchise with how he is communicated to the player early on -- that sword in President Shinra's back, burned Nibelheim, and impaled Zolom leave quite the impression -- and he worked well from the shadows as a fairly mysterious, looming threat. Unfortunately, explanation and interaction blunted that edge by the time the party goes for The Black Materia, and even before the end of Disc 1 I felt a lot of his magic as a villain had worn off.