There is only one "villain" that is more evil than Sauron, and it is his master, Melkor Morgoth, who was defeated at the end of the First Age of the Sun. I cannot see any opposant to their position at the top of the Evil ladder. There is a whole cast of "villains" in fantasy, science fiction, literature and movies ; but very few are of the rare cast of the Supreme Evil. By their statures (Morgoth is a Vala, Sauron a Maia, that is to say the most powerful Spirit in Arda, and one of the greater Lesser Spirits of Arda) they can only be equalled with evil "gods" in other fictional universes in what regards their stature. Mayhap there be anothers Supreme Lords with the same goals than them, but, unless they are well depicted and differenciated and not mere replicas of these two, I can say that, for my part, I have not seen yet another evil figure as interesting in literature. I would add that the majority of "villains" are human (serial killers, dictators, etc.), sorcerers (Voldemort for example), but their case is not comparable, since their powers are not of the same kind.