Urizen, of Devil May Cry V.
Admittedly, this is greatly enhanced by being an interactive medium. In anything but a game (or the darkest of stories where literally anyone can die) posing a legitimate threat can only carry a character so far, because it's hard (though obviously not impossible) to make the audience believe the main characters will actually die. Urizen is the first boss in the game, and he wipes the floor with you after doing the same to basically every other major character in the series, all while literally lounging on his throne. Many levels and many more hours later, you've got new techniques, new gear, and plenty of practice with each, and you're finally ready to take him on.
If you look at his dialogue and goals objectively, they're pretty cheesy, even cliche. But he's got the raw power to back them up, and by the time you've heard them you've already died to him quite a few times, which makes them feel legitimately intimidating.
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Urizen actually used to be a far more complex character, Virgil, but by the time of DMC V he has literally severed that part of his psyche. It's interesting, because it's almost a reconstruction of the pure evil villain archetype.