Villains from the dark fantasy genre, a genre combination of fantasy with strong horror and/or gothic elements. 

The setting of these stories are often brutal, and involve morally dubious heroes (or no heroes at all). Good does not triumph over evil very often, and the general population lives in misery and conflict. Unlike many other forms of fantasy, these settings do not indulge in whimsy or "fairy tale" aspects, and instead focus on brutality, much like ancient myth and folklore.

Famous examples of this is the Game of Thrones series of books and live-action media, the God of War games, the Souls games, the Conan the Barbarian and series such as Attack on Titan or Berserk.