Hmmm thats tough. There arent many that really scare me much...because they start explaining the villains backgrounds and you begin to understand them thanin older stories.
I guess the closest would be Samara from The Ring and the mom and son from The Grudge (movies), but I wouldn't say they were villains, they're just unfortunate humans who want revenge.
I admit these movies freaked me out.
Viruses in those end of the world storie sare pretty scary too. There's nothing like turning the human race into mindless zombies to feed on the rest of the human population, but you know.