The problem with games that let you choose to be a villain is, they usually... don't. They let you be a prick, for sure, and you can complete quests in the most asshole manner possible... but you still end up saving the world/defeating Alduin/whatever.

If you want to be a villain you're better off with a game that lets you be an explicitly villainous character. Like in Darkest Hour how you can be Nazi Germany, or how you can play as an all-conquering horde in Europa Universalis IV, i.e. France. It's often best when played for laughs like in Dungeon Keeper, Evil Genius, and Overlord, where your 'evil' is either ridiculously over the top or so petty as to be hilarious.

There's also the very small sub-genre of torture/trap games, specifically Wild 9 and Kagero, where your methods are so brutal and cruel that your actual objectives kind of fade into the background anyway.

If you want to be a real villain though, the best way is always going to be playing a Space strategy game that lets you genocide entire species, blow up planets and suns, and crush entire galaxies beneath your heel. Distant Worlds, Space Empires, and I want to give a special mention to Star Ruler here because it is possible to kidnap enemy planets. I do not mean blockade and hold to ransom or abduct the entire population or threaten to bombard or anything - I mean you can build gigantic rockets on them, fly them across deep space, and put them in your own system.

Or, you know, you can just play Custer's Revenge.

e; Oh I forgot, a game series which did really good in this regard is Legacy of Kain.