From LotR I would pick the Witch-King. Each time I hear him (or a fellow Nazgűl) speak in the book I shudder. He's extremely scary to me, yet he makes me wonder what kind of person he is, or better, was, and whether he would have chosen differently long ago in hindsight. In a way he's a very tragic figure, on second sight.
Sauron in the LotR is a little too abstract to be a first class villain. But if you look at the Akallabęth, there he is awesome. He's corrupting and unscrupulous, he's in a very interesting way challenged, and he's in a very devilish way sympathetic. I would pick Second-Age-Sauron as my overall favourite.
I give an honourable mention to Carcharoth. Lúthien's words to him about forgetting for a while the dreadful doom of life make me feel truly sorry for him and for all of his breed.
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