I don't know if I have any "favourite" villains as such. From the base game, all four villains can be kind of annoying - Voss can be tough with all the Minion damage, Dawn and Blade both have a "That Card", a one-shot that can really destroy you depending on how much stuff you have out, and Omnitron has several really horrible cards - again, stuff destruction and also the EPEs if you're not set up to deal with them.
I'm less keen on the Rook City ones in general because they tend to be pretty difficult - Rat is probably my favourite, and if Chrono Ranger is about then games against him are actually pretty fun because of all the ridiculous amounts of damage getting flung his way. It's rare that I play Jim against Rat and come out incapacitated. Lilian can be a pain in the arse with many many birds coming out over and over again, but sometimes she's not that bad. Spite can be a bit annoying with the lifetap thing but he can be easily dealt with if you can nerf his damage enough…but his promo version is much worse and totally destroyed us last time we fought him. The Chairman…is the Chairman :P.
The villains of Infernal Relics are probably among my favourites. We've only lost to Apostate once or twice and we've never had him flip, and one day I'd love to actually manage the use-an-insta-kill-ability-to-get-around-his-flip-mechanic thing, just because :D. The Ennead are usually quite fun, and if Tempest is around and manages to get the Shackles out then games against them are pretty short as well >:). Gloomweaver makes for a more "relaxed" game because he's not particularly difficult, and I do enjoy games against his promo version because they always seem to be challenging in a fun way (we've done him maybe three or four times). Akash'Bhuta I like as well - we don't really find her particularly difficult but things can start to feel a bit frantic if she gets a whole bunch of limbs out, which can easily happen if she chains Primeval Eruptions, and gives us plenty of stuff to destroy.
Shattered Timelines has…well, Iron Legacy, who can be described simply as "Ouch" or similar ;). The Dreamer is fun, bringing a different kind of fight since you're attacking everything except the main villain. Kismet is mostly horrible and nearly always kills us. Same for La Capitan.
The Vengeance villains we've only done a couple of times, due to either not rolling them (villains are determined via die roll) or rolling them and deciding we're not in the mood for the added complexities of fighting them at that particular time.
The villains of Wrath of the Cosmos we're only fought once each (well, we've done Deadline and Kaargra a couple of times at London meets, but those aren't our "normal" games as we have more people and stuff), and that was yesterday. They all beat us except Deadline, but as that was our first proper go against 'em things might go better once we've learned their decks a bit. I was looking forward to fighting Kaargra (she was fun at the London games) but found it really complicated trying to keep track of everything since I kept forgetting stuff such as when heroes/villains get points or when titles are given out…but again, that's just down to not knowing the deck yet. Maybe one day we'll mess around with including titles in other games, just to add a bit of extra…stuff. For the fun ;).
And that leaves promo villains…let's see…Ambuscade. He's a good one for a quick and fairly easy game, unless he just spams Explosive Launchers because they kind of hurt :P. Very rarely do his traps go off. Miss Information is fine - she's probably beaten us once, but generally we don't have a problem with her even if the constant stuff-destruction can get kind of annoying, but at least we don't usually have to wait too long to be able to stop it. Wager Master is…interesting. We've only fought him once since I got hold of the decks myself (we did him once in London as well, before the release) and we won, but I can see how games versus him could be really annoying, ridiculously easy, and/or incredibly short ;).
