They have to be bad guys in at least two showings:
Christopher Walken (his brief role in True Romance is about as chilling as anything I've ever seen)
Timothy Agoglia Carey (if you don't believe me, watch The Killers, or The Killing of a Chinese Bookie)
J.T. Walsh (as tarsier mentioned; his role in Breakdown is so creepy because he plays just a regular guy-- in other words, a real-life villain; also great in Sling Blade)
Morgan Woodward (from Cool Hand Luke and other infamous roles)
Lee Marvin (classic of all classics)
Ian McShane (plays one of the most superb fictional heavies of all time-- in HBO's Deadwood series)
Clancy Brown (menacing, frat-boy demeanor)
Henry Silva
Peter Stormare (just creepy)
James Cromwell (self-righteous prick)
Robert Mitchum (another classic menace)
Brian Dennehy (very underrated)
Of all these, I would say that the best villains are:
J.T. Walsh
Clancy Brown
Brian Dennehy
James Cromwell
All of the others are over-the-top, comic book villains. They may be scary at times, but they are caricatures of most truly evil men.
The four mentioned above are archetypes of every-day, true-life bastards. J.T. Walsh is your guy living next door, he could be your uncle. He happens to molest children or be a serial rapist, or be looking to put a hit out on your life. He's terrifying.
Clancy Brown is the frat-boy bully. Always grinning. Not likely to kill you, just make you miserable. And be damn good at it.
Brian Dennehy is the archetypal bad-ass small-town sheriff that is corrupt and will kill you if it suits his purpose-- a more mature bully. His cocky grin and swagger are a warning of things to come.
James Cromwell is the guy at the top. A self-righteous busy body who can easily convince himself that it is appropriate to wrongfully lock you up, or just kill you quietly. He can manipulate the system as far up as it goes.