I would say that being able to empathize with a villain makes them a bit more real and enjoyable to me. Bond villains would be an obvious example of this, as they are often men that just want to improve the world, albeit in a twisted way. So, for me, a villain with believable and, in a way, reasonable motives are the best kind. That being said:
Literature: Tie between Randall Flagg from The Stand and Napoleon from Animal Farm
Film: Vader is an obvious choice, though I also liked old-school General Zod or Ciguhr from No Country for Old Men
I definitely agree. To me the best villains are fully realized characters who stir mixed emotions in you. You want to defeat them, but when the moment finally arises, you feel some kind of sadness. This sadness can come from a variety of different reasons - perhaps because they are wasted potential or because you have thoroughly enjoyed the conflict that that character presented or they have just gained your sympathy over the course of the story. They should make you ask questions about yourself or about the protagonist of the story.