There are so many great "bad guys" that it is hard to pick just one. But, off the top of my head, I would have to pick the one that is the most ruthless, cold blooded killer of them all... Peter Fonda's character "Frank", from Once Upon a Time in the West.
Some folk might not agree with me, but any bad guy that will stone cold two kids and never blink has go to be an all time western bad guy. He was such a bad guy that he made other bad guys look good in comparison.