Was thinking, how about listing your "favourite" (as in the name being good or funny) badguys name? from Games, movies, tv series and Anime. (or other places if I forgot some).
Ill start,
the leader of the Destrons in Transformers: Supergod Masterforce. Its Devil Z
http://transformers.wikia.com/wiki/Devil_Z

Schwang Schwing from MDK 2 is one of my favorites.

For anyone who knows italian, well....there isn't ANY name worse than Palpatine.
In italian the verb "palpare" means to grovel, grope or fondle (usually for sexual pleasure).
Voilà, you now have one of the most evil characters in the history of fiction who has a name that remembers a filthy old perv. Woohoo.

All hail Emporer Paedophile.

He has candy...

And he also bears a vague resemblance to another folk who is in the church....
Wow, we've come full circle!

Fatman from Metal Gear Solid 2.

This isn't from a video game.
But if you look up Strom Thurmond, who ran as the "Dixiecrats" or States' Rights Party in the 1950s.
Seriously though, Strom Thurmond is an awesome name.

Malpercio and Giacomo from Baten Kaitos. Terrible names for a pretty good rpg.

The Transcendant One (Planescape Torment)
The Nameless One (Planescape Torment)
I could go on for hours just on Transformers but
Megatron
Shockwave
Soundwave
Starscream
Skywarp
Dirge
Devastator...
Just from Dr Who (Likewise I could go for hours)
Davros
Mehendri Solon
The Mighty Jagrafess of the Holy Hadrojassic Maxarodenfoe

Wasn't there a bad guy originally named Foozle??

Oscar the Grouch was such an asshole.

I can't believe noone's mentioned Dr. Evil yet.
And on that note, I've always thought that the name Ernst Stavro Blofeld was extremely well chosen. The name just sounds evil.

Joneleth Irenicus (BG2), for being one of the few RPG bad guys with a name that did not sound too generic, or cheesy, or having the words evil, dark, or doom, etc... in it.
Evil Betty, from 'Kung Pow, enter the fist'. For those wanting a funny one.

A name so bad, he is known by the name of his planet:
Phantom of Krankor.
And I agree with Ois that too many villain names try to hard to sound evil.