[quote=@Ellri]
You can also use the anti-hero. Its not a villain per se, but neither is it a true hero.

but one important thing to remember. Unless you're going for the comedic, you won't see a villain that considers himself/herself to be evil. Virtually all proper villains have some sort of justification for what they do. It might not make sense or seem right to the "heroes", but that doesn't make it less justified in the Villain's mind.
[/quote]

Not sure I agree with you there, as the thread title mentions Vampires. Now, Vampires are probably one of the most diluted and often times terrible and overused concepts for a character, but I would argue they can easily fit into the category of a villain that considers themselves to be evil. Though it highly depends on what sort of lore you're going for, in the most stereotypical format many vampires hate themselves for their actions. Some also lay the blame at the hands of the Vampire which turned them, or the Devil, or their own Bestial nature, so it's not black and white so to speak. 

Also, I'd argue that any character which fits into Chaotic Evil is definitely aware that it's evil, as they commit terrible actions for its own sake, basically for shits and giggles. Neutral Evil is the realm of assassins and others who have no particular limiter on their actions but neither any particular drive to do things without proper motive, alongside Lawful Evil these are the characters I'd agree with your assertion of their self perceptions of being 'the good guy' so to speak.

Just my two cents, for whatever it's worth.

As to my favourite villains, I love the ultimate utilitarian pragmatist villains that pop up ever so rarely, my favourite example of this being Ozymandias from Watchmen, aided somewhat by the success of his plans. They're as Ellri said villains with very clear and important motives, they become villains simply because they are willing to do the things that the heroes won't, or because of a certain ideology that puts them into contention with the 'good guys' but in the end a little part of you wonders if they weren't right all along.