Kefka is the big bad guy at the end of Final Fantasy VI, and he's my favourite villain from pretty much any source. Game, movie, book... No one else is as awesome, insane, or just plain evil. I really like the way Kefka works into the story of the game pretty much the entire time which is fairly different compared to most other games in the series.
Take FFIV, for example. The end boss of that game is Zeromus, a fellow you only learn exists shortly before the end of the game. For most of the game you're led to believe that Golbez is the prime evil but then it turns out he's actually your brother and has been mind controlled. Great twist and all, but it really doesn't leave much time for Zeromus to come into his own.
In FFV you do learn of the end boss pretty early into the game but you actually don't have much reason to hate the guy. X-Death was imprisoned by your father and I'm sure he was quite evil back then. But now? He's just trying to break out of jail, power up, and get some revenge. Heck, frame it a little differently and that actually sounds like the back story for a good guy.
In FFIII the end boss is just a cloud. It is pretty scary that there's this big cloud out there that wants to devour the universe and clearly you want to go stop it... But can you really call it evil? It's just doing what a giant void cloud does. And even then, it doesn't feature much, if at all, in the plot. It's kinda pulling the strings in the background but mostly it's just there.
Being present throughout the game, it turns out, is actually important for people. You can see this from the first couple World of Warcraft expansions. The initial game had no end boss to speak of. Kill some things, get some loot, wait for new dungeons to come out. Tons of fun, but no big bad guy to hate. The first expansion brought Illidan out as the big bad guy and he featured in the opening video as a guy you really wanted to go kill. And then he promptly disappeared from most of the game and most people never saw him again. But in the second expansion the Lich King was featured prominently in lots of leveling quests. At one point you even inadvertently help him conquer a tribe of trolls and get control of a zone. You really wanted to go beat him up!
FFVI really brings this angle out of Kefka. He keeps showing up in the plot during the events of the first world. You don't think he's the big bad guy at the time, but he's still kicking around and doing things that make you hate him. Square still gets to pull out their big twist when Kefka kills his emperor, destroys the world, and becomes a god. But because it's not the introduction of a new character as the god but the transformation of an existing character I feel it has more power. And oh, what an existing character...
Kefka starts out appearing like the comic relief. He has corny music, he dresses funny, and he's egotistical to the extreme. He's marching through the desert and makes his lackeys dust the sand off of his boots! Then he goes full on evil when he goes behind Leo's back and poisons the entire population of Doma. And that laugh... MWAHAHAHAHAHAHAHAHAHA! After all, nothing can beat the sweet music of hundreds of voices screaming in unison...
Kefka kills off one of the other Empire generals, Leo. This shortly after you start to learn more about Leo and start liking him. He seems like a good guy, and then Kefka kills him on you. Kefka also does a decent job of turning the party against Celes by talking her up as a spy instead of a defector. It's things like these that make you really hate Kefka. I really liked Locke and Celes together and it angered me when Kefka drove a wedge between them!
Kefka fights the party over and over, but it actually makes sense that he's a rough but beatable fight each time. He keeps gaining power as the story progresses by killing more and more espers and absorbing their powers. (Which is actually how the player characters progress as well. Espers teach spells and give stat ups on leveling.) Eventually Kefka gets control of the goddess statues that created all magic and uses their power to become a god, at which point you stop fighting him. Then you have to live in a world he's destroyed. Kefka isn't someone you casually run into anymore but you're constantly faced with the consequences of his actions.
Kefka has tons of great lines, he's constantly in your face, and he's absolutely both insane and evil. And his path to power is actually quite believable given the game world. It's for these reasons I think he's the most awesome villain in any story.
And his music is great too... Check out both his normal theme music and his epic final boss battle music!