Alma - as seen in F.E.A.R. and F.E.A.R.: Extraction Point
Most action games owe a debt to Hollywood, but this scary little girl with long black hair was a particularly blatant borrowing from Japanese horror. Still, a spectral tween who could murder entire platoons of crack soldiers in the blink of an eye, and a foe that can never be defeated? Damn.
Anna Navarre - as seen in Deus Ex
Deus Ex’s supporting cast was full of great characters, but fellow cyborg agent Anna was the standout. Initial coldness turned to trust and even flirting - and then she asked you to blow an unarmed man’s head off. The relationship went downhill after that, and before long she was after your gene-spliced blood. If you managed to find her secret deactivation code, her eventual, inescapable death was perhaps the game’s most tragic.
Arthas Menethil - as seen in Warcraft III, World of Warcraft and various expansions
There aren’t many RTS games where the hero you initially play decides to commit genocide upon his own people halfway through. Prince Arthas has since risen to become one of Azeroth’s biggest bads: the Lich King. Blizzard has promised he’s going to get his comeuppance in a future WoW expansion - possibly the next one, as portions of Northrend, the continent he’s supposed to live in, have appeared on the map after a recent patch.
Dr. Breen - as seen in Half-Life 2
The Orwellian overlord of a Combine-ravaged Earth, it’s Breen’s niceness in his initial appearances that makes him a truly unsettling villain. Calmly telling the dispossessed remnants of the human race that infertility and imprisonment are good for them, he’s a very special breed of monster. When you meet him, it turns out he’s just a sniveling coward with delusions of grandeur and who the game’s other doctor, Gordon Freeman, could beat to a bloody pulp if only he didn’t keep running away. Speculation has it the wretch may yet return, despite his apparent explodey demise at the end of HL2. There was, after all, a lot of talk about a Combine host body.