Sure, games want you to focus on liking the good guy. But some times you can't help but like the bad guy, too.
My all time favorite Bad Guy would have to be Vaas from Far Cry 3. To put it bluntly, he's insane. And he's evil. And his *main* drive isn't money, power, women, drugs, etc. Those are just little bonuses for him. He's just crazy, and trying to kill you and everyone else who gets in his way. Not to mention he has some of the best lines and monologues of any other bad guy in gaming. He even proves to be a more likable bad guy than *the* bad guy in the game.
Also to add, Wheatley from Portal 2.
Sure, he's only a bad guy for like, 1/3rd of the game, but while he is, he's a hilariously bad bad guy. And that's what makes him one of my favorites as well.