If I had to pick just one*, it'd have to be Freiza. Not a terribly complex character, but implemented so well in the narrative and plays his role perfectly.
First is the unorthodox design – in his first form, he's small and not at all intimidating, which belies his true nature.
While that changes with his subsequent forms which more literally portray the threat he poses, his final form is noticeably effeminate and is eerie rather than traditionally scary.
The way his reputation was built up through the story and other character's "testimonies" was perfect too, with former insurmountable villain and general cocky bastard Vegeta being absolutely terrified of the guy.
It's the same technique that imprinted Boba Fett onto the minds of so many filmgoers.
The most sinsiter is the way he slowly reveals his power, giving the protagonists – and the reader – glimmers of hope, only to snatch it away is a masterclass in building tension. He's also a great foil in that he seeks power to Dominate others, and is all ego, as opposed to agony, although obsessed with martial arts, enjoys self-improvement and doesn't hold himself above other beings just because he's more powerful.
This is a trait common to most great villains in shounen action series, and Freiza best embodies that.
Last but not least is how he was integrated into the personal histories of the main characters – Vegeta was transformed from a full-on villain to a sympathetic antihero through their relationship, and most importantly, the normally carefree Goku was forced to confront his nature and past as a member of the race Freiza massacred.
*Cringe as you might but I thought Cell was a great villain in Dragon Ball Z is my all time fav though. Mostly because of the way he takes the tropes and makes something out of them.
I think what amuses me most is that he takes those lame gimmicks, the ones that are usually employeed by the heroes and turns them it back at them. He uses them all, and thoroughly the way shuts people down, letting them try anything and just making fun of it.
He is also used well mechanically, allowing Gohan his awesome powerup but then still proving an intensely dramatic showdown.