Vass Monterogo

Pagin Min

Joseph Seed

The Joker

Thanos

Micah Bell

Blake Dexter

The crooked man

Raul Mendez

Tate Landon

Kai Anderson

Twisty the clown

The Sawyer family

The firefly family

Norman Bates

Valak

Annabelle

Sub Zero

Shao Khan

Shang tsung

Devin Weston

Steve Haines

Yoshikage Kira, it's the first thing that shows up on screen and you don't find out it's him till later, and when you do it just shows how accurate to serial killers he is.

General Shepherd

All For One.

Sandman from Spider-Man 3. While Flint Marco was shown in earlier scenes, his proper transition into the supervillain Sandman is done beautifully and without a single word.

But if you're looking for a proper first scene involving a villain as a whole, i'm gonna call on Hans Landa from Inglorious Basterds. Everything you need to know about him and the movie can be seen in this one scene.

The Joker in The Dark Knight.

Harry Lime from The Third Man.

John Doe in Se7en, or Hans Landa in Inglorious Basterds

Unknown

I've seen "Once Upon a Time in the West" recently, and, god, Frank's entrance is brutal. As soon as he appears, he murders an entire family without problems, including a small child. In addition, he was played by Henry Fonda, who was known at the time for playing the good guys. And in this one he was the bad guy.