For me, it's not the "cool" factor. Never has been. It's either because I like their story, reasoning, or because they are insane. The descent into insanity is something I'm really interested in. Makes for an amazing tale when they can be saved from it or when they loose their souls and go out in it.
Random, brief, examples:
Poison Ivy: The ideal that humans are a disease to the babies of earth, flowers, is interesting. She despises humans and yet is very mothering and compassionate to only one human, Harley Quinn.
Justin Law: A religious, devoted, death scythe who fell into insanity and went against his rules. His mad monologue during his fight against Stein is absolutely one of my favorite things ever. Add on his Two-Face like burn to reflect the demon now resonating within him is a very amazing touch. Also, he is using a guillotine as a way to serve justice by his God.
Obito: The idea that a if a person acts or does something that isn't something they would do in his idea of them is truly a beautiful way of thinking. He has a very distinct form of insanity.
Jugo: His entire relationship with Kimimaro is beautiful. A peaceful man wanting to cage the beast within by looking for hope in someone. It's amazing.
Ra's Al Ghul: A man walking the world for hundreds of years setting balance to the world. Ra's Al Ghul doesn't do this for kicks. He believes the world and the economy must be preserved. He also has been ready to die, but lives on because if his will cannot be carried by someone else, he must be alive to do it.
Jordan Collier: The Jesus of the 4400. Very charismatic and likable at first. His ideals are something I like, but when he returns, it's an entire new man. A man who saw chaos and war. He has become more mature and a pure messiahs who believes in what he says. No forcing. He wants a new world, but is giving you the option to embrace this power.
Azula: My favorite villain, perhaps character, ever. Very sharpened, strong willed, controlled. That's impressive at first. Then we learn about her relationship to her family. We now know why she is that way. More interested. Her relationship to her mom is something, but her relationship to Ty Lee really calls for my attention. Azula needs to have control and things her way because she didn't have it with her mom. Azula can take Zuko standing up for himself and Mai betraying her, but not Ty Lee. Ty Lee was the final straw to her sanity. Ty Lee was her light and then she lost it all when Ty Lee saw how bad their actions where. Azula may've gained the crown, but she lost herself to her thoughts, her paranoia. Such an amazing character.