I never minded Sephiroth or Id from Xenogears, but Ultimecia was a terrible villain overall though I am not sure if you'd call her a villain sue as some poorly written gobbledigook let the party engage and kill her with ease. Wrathful guys with long hair are cool.
I have a love/hate relationship with David Bowie wielding the soul edge aka Caius. I actually really identify with him. I'm just as nihilistic and hellbent on protecting things close to me. I like dark blues and purples. Above else his voice sounds slightly British too.
I just wish the heroes thought of something smart to imprison him. Couldn't you just, you know, lead him to a trap and keep him there? You can't kill him, so you'd have to seal him away.