My favourite Nintendo villain is still Bowser to be honest. Yes other villains are more 'evil', or theoretically more powerful, but the honest truth is simple.
He's the one antagonist who can be all things at once. And to be even more honest, he's probably got the best track record relatively speaking.
Think about it. The guy's functionally immortal, has an army capable of taking over the world in about a week and probably has the most abilities of pretty much any Nintendo villain (or even fictional villain in general) ever made. Sure he gets beaten by Mario and co all the time, but every other Nintendo villain or recurring villain is much the same way too. Every comic book and TV series villain has about the track record Bowser does defeat wise, but Bowser's arguably better than any of them in the long run, and prepared enough he could probably take over any world/place the Mario bros and their associates don't exist in.
Every other Nintendo and fictional villain can die or be permanently defeated. Ganon? Stuck at the bottom of the sea forever with a sword in his head. Andross? Dead. Ridley? Killed a ton of times, and brought back from spare DNA lying around. And all Pokemon groups cease operations when they're beaten or arrested or the like.
Bowser on the other hand can survive anything. Lava? Yep. Bombs? No problem. Black holes and being punched in the sun? No big loss.
http://www.youtube.com/watch?v=t6wyUU9GSE4
None of the above seemingly scratched him one bit. So there's that level of invincibility in his favour.
Similarly, he's both got an entertaining and sometimes funny personality (see the Mario RPGs in general), yet manages to still be a credible threat in other games. That's kind of rare in villains, most tend to either be a complete joke you simply laugh at or simply a 'strong' enemy with no real 'soul' in them. And games like Mario & Luigi Dream Team show him as amazing clever to boot, with a level of genre savvy unexpected of a character in his situation.
And hey, he's just pretty cool in general.
So Bowser's my vote. What's your favourite Nintendo villain?