In no particular order, I like
Diablo in Diablo and Diablo II. Apocalypse in the original was awesome, especially considering he was in a room full of death knights (my favorite monsters in that game, except maybe the charging dudes). In Diablo II, he got even better, replacing Apocalypse with the Flame Wheel, and adding Lightning Hose to the mix. The whole "open 5 seals and defeat 3 mini-bosses" is also cool. Pop the final seal, the ground shakes, "Not even death can save you from me."
Duriel from Diablo II is also a beast. Big D and Little D. :) Then they added uber Tristram, so you have to fight a powered up Mephisto, Diablo, and Baal at once.
Of course, not much can match the atmosphere of the Butcher in Diablo. It's the very first thing I saw in the game, aside from the regular townspeople. A wounded townsman lay at the entrance to the Monastery. "Please, listen to me. The ArchBishop Lazarus, he led us down here to find the lost prince. The bastard led us into a trap! Now everyone is dead... killed by a demon he called the Butcher. Avenge us! Find this butcher and slay him so that our souls may finally rest..." So I trudge down into the dungeon, wondering about this "Butcher" character (He seems a little shady to me). I get down to the second level, and I find this strange room full of blood and impaled bodies. Tentatively, I open the door, and hear a shout of "Ahh... Fresh meat!" and proceed to get slaughtered ("Press Esc to continue"). I eventually had a complex maneuver involving buying lots of extra bows, finding a grate, setting up a town portal past a grated area with a door, and then trekking back down to pelt it.
King K.Rool in DKC2 was great. I love the song for that, and it had some cool effects.
Lastly, the Cyberdemon in Doom was cool. Tall as a skyscraper, a huge rocket launcher for an arm, a "Rarghgh" cry when you awaken it... That just fits Doom perfectly.