Ohhh ok, tough one. I'll sort of cheat and divide it.
DC: Ozymandias, from Watchmen, though I actually don't seen him as a true villain. Everyone in Watchmen is a flawed, damaged individual, trapped in a disastrous alternate clockwork history, ticking down. Ozymandias is the antagonist, but he's fundamentally an initially moral person who martyrs his own morality because he can't conceive of another logical way to save the world, and I always find that strangely heartbreaking. Close runner-up: Orm, from Aquaman. I love the ocean and I'm disgusted by how humans treat it, as is he. If I also get to ride a shark, sign me up for his squad! He's a lot more complex and sympathetic in the comics than he is in the movie, and is far less of a one-note villain.
Marvel: Sabretooth, from X-Men. (Runner-up: the Hellfire Club as a whole, Sebastian Shaw in particular.) Besides struggling with my transition, I often philosophically and spiritually spend a lot of time contemplating my wilder animal nature, which wants to live in the moment, roar, play, do anything to survive, be utterly free, untouchable, unashamed. Sabretooth fundamentally wants to live that life (and Wolverine fundamentally tries to reject it) but knows he can never fully have it; he's got a line somewhere, "I am an animal who dreamed he was a man." That's pretty much how I feel about life, so the character resonates with me quite deeply sometimes. (And then sometimes he's just written as a big bad misogynistic straw man and I get very, very sad, because he can be written so much better.)
Image Comics: Woden, from The Wicked + the Divine. He's a cynical, manipulative, unrepentant, callous, awful person, but also the only character in the series who's vocally and thoughtfully transpositive (mild spoiler, he himself is cis). He's quintessentially driven by bitterness, and a feeling of having been robbed of a happy life others have been handed very easily -- that resonates with me as a transperson (who desperately wishes for a cis body) on an incredibly profound level. He's still a villain. He's still the height of "problematic". I'm not suggesting he's secretly a lovable good guy. He's a horrible person. But down at the core of me, I think I feel a very similar raw hurt and bitterness, so I still find him endlessly fascinating.
