Okay let me elaborate on my choices a bit more since last time my mom was SHRIEKING at me about using *GASP* SOMEONE ELSE'S COMPUTER (india sucks sometimes)
THE JOKER - In TDK, they visually scrapped everything from the comic book joker, and rebuilt him around the premise that the character could actually be a real person. In comics, villians inexplicably have their personal theme applied to everything (THE RIDDLER), but in TDK, the joker was some guy who went crazy, put makeup on his face, and used generic weaponry and a shit ton of knives, and was generally fucking insane. The fact that they made him appear so ordinary, as opposed to having a more ubiquitous 'joker' theme to everything he owned, made him that much more scary. Also the entire time he was onscreen, I was literally on the edge of my seat. Heath Ledger did a fantastic job of making him seem like a unpredictable, unrelenting, murdering psychopath.
Hannibal Lecter - It is not seen in Silence of the Lambs (the movie) but if you read Thomas Harris' book of the same name, there is one part where he absolutely brutalizes a nurse. IIRC, he rips out her eyes and tears off her face or something (it's been a while since I read it), and the entire time, his heart rate never increased above resting. He had eleven fingers, one of which he amputated after escaping from prison, and he remembers virtually everything due to an elaborate memory palace. Probably the most vivid example of what makes him so creepy to me is in SOTL, while talking to agent starling, he says, "You use Evian skin cream, and sometimes you wear L'Air du Temps, but not today."
Anton Chigurh - Oh, just watch the fucking movie. This man will stop at absolutely nothing to satisfy his personal moral code. He will coldly kill a stranger on a coin-toss. He will chase a man around the country, not because he wants the 2 million dollars in the suitcase, but because he promised him he would. While watching the movie, it's hard not to get the feeling that if this man was after you, there was absolutely no way you would permanenty escape.