Game: Diablo
What Makes Him Bad: He's the embodiment of all evil and isn't above manipulating humans to get what he wants (read: destruction of the entire world).
What Makes Him Cool: He's the boss of the entire world of Diablo.

The epitome of all evil comes in the form of a giant red behemoth that resembles the classic image of Satan as portrayed in most Judeo-Christian imagery, and he's one bad muh.