That alone becomes a matter of taste or style. A villain with a black soul is simple enough... Profound Narcisisstic Personality Disorder + Unrestricted Power, and you've got Joe Stalin or any of a number of other historical monsters for models. And a truely loathsome villain has a great deal of story potential, if that's what you really have your heart set on.
But as Neuro pointed out, a villain who thinks they're serving a greater good has a great deal more potential in terms of engaging the reader. They're more difficult to pull off, but usually more rewarding. Fidelus from the Codex Alera books is a fine example. Vic Mackee from the Shield... you alternately want to buy him a beer, and give him two shots behind the ear when he turns around and does something bastardly.
A villain who's downright likable created a greater emotional impact when they do something that's shitty, but in character. You can up the reader's emotional investment in his decisions... "Please don't do that, please, please, OH YOU BASTARD!"
A weak-willed antagonist is another possibility. Londo Mollari from Babylon 5... You could really sympathize with him, get to like him even... so when he would choose selfishly despite his conscience, it had a greater impact on the viewer than "a bastard being a bastard" because he wasn't just screwing people over, he was throwing away his own potential.