Irenicus from Baldur's Gate 2 may count. It isn't that he revels in being a villain, he simply does not care enough to bother denying the charge.
"No, you'll warrant no villain's exposition from me."
Dorn Il-Khan from EE is a better example. He's a mass-murdering Blackguard and openly admits as such. One of his funniest scenes is when he mentions that he and Gromnir came from the same orc tribe, but Gromnir's antics disgusted even Dorn and the orcs so he was thrown out. Dorn even feels the need to point out that even he has standards at all.
The Mad Doctor from Epic Mickey. This is especially obvious in the sequel The Power of Two, where he sings a song about this, "The Mad Doctor's Plan", and also title a TV show he created "The Mad Doctor's Wonderful World of Evil".
Dear diary, who's the maddest mad doctor of all ? Wonderfully evil meeeee !
Considering that the carnival of CarnEvil is named, well, CarnEvil, pretty much all of the villains qualify since the game makes absolutely no efforts to hide that fact.
Nemesis from Catacomb Fantasy Trilogy has the goal of destroying all that is good, and his mausoleum contains plaques "dedicated to Nemesis and his great evil." A bit of a Flat Character, maybe.
The non-Naughty Dog installments of the Crash Bandicoot series portray many of its main antagonists as card-carrying villains, especially as the series took a more comedic turn.
Arkham from Devil May Cry is obsessed with evil and spreading it wherever he goes, referring to the term "eeevil" with religious reverence as he carries what must be the Antichrist's Bible for Dummies over his heart. Vergil simply ignores him in these moments.
Most of the evil races in Galactic Civilizations take so much joy in their skull collections. If you're playing an evil race and are on good terms with other evil races, they may occasionally warn you that the good guys want to stop both you and them from torturing people.
Bio-Haz, in the obscure Game Boy RPG Great Greed, is a textbook Evil Overlord trying to conquer Greene Kingdom, and he's generating as much pollution as possible because it makes him and his army stronger. It's not until the end of the game that you learn he has another motive besides his great greed; he wants to save the human world from pollution by using Greene Kingdom as its garbage dump.
In the Human shields trailer for Hatred, the Villain Protagonist refers to himself as a "fearless remorseless genocide machine, cold and deliberate".
ALL of the antagonists in Hero's Realm fit the bill, but special mention goes to Balthalas, who sports a fantastic Evil Laugh to boot.
King Squid from Jables's Adventure outright identifies himself as "the villain" and tells the hero, Jables, that it's too late to stop him from...to be honest, King Squid never really gets to explain what, exactly, his evil scheme is.
Malefor, the Big Bad of The Legend of Spyro trilogy, has absolutely no problems with his title as The Dark Master and, in fact, took the name himself. He's also a third sphere version intending to destroy the world. Unlike most examples of this trope, he's played dead serious and is pure terror.
House Steiner in the Mechwarrior game franchise: on the couple of occasions you aren't fighting them, they're setting you up for a murderous betrayal. The original BattleTech universe portrays them as more morally ambiguous.
Somewhat justified in Mech Commander 2 and MechWarrior 4: Vengeance/Mercenaries, as they are being lead by Katherine Steiner-Davion.
Doctor Regal from Mega Man Battle Network, a representative of moral relativism taken to its extremes, is a very disquieting type 2 Card-Carrying Villain, whose objective is to make everyone as evil as he is, first by gaining control of Duo's asteroid, then by trying to connect all human minds to the Soul Net, and then using Nebula Grey to corrupt it. Unlike most such villains, he is not played for laughs and, in fact, comes out as one of the most threatening and chilling characters in the whole series.
Despite not being played for laughs, there are quite a few instances where Regal comes off as pretty narmtastic.
Mega Man Star Force. In the third game, the villains belong to an organization known as Dealer, and they carry Noise Cards with them to make Wizards go out of control.
Few of the members could really fit well, though. Queen and Jack were Woobies Destroyer Of Worlds, Heartless was The Reverse Mole, and Ace betrayed them before the game began. Even Joker didn't consider himself evil; he simply considered the weak unfit to exist. Only Smug Snake King would fit.
Most of the Path of Dark class promotions in Might and Magic VII have a name that is either more associated with not-quite-a-good-guy than their Light counterpart (Warlock vs Arch Druid, Bounty Hunter vs Ranger Lord, etc) or invoke darkness (Priest of Dark, Black Knight). The Paladin promotion is called Villain, and yes, the guy that promotes you to it uses it himself. In the same game, William Setag is a self-proclaimed Villain. He can train your Crusaders to be Villains, too (it involves having them help him kidnap the fairest lady in Erathia, just for the sake of doing it).
The Genma of the Onimusha series revel in being referred to as "evil", most notably in the second game (evident by the final boss being the Golden Evil Statue, and also by the content of some in-game documents).
Team Rocket, introduced in the original Pokémon games. They not only declare how evil they are repeatedly, but generally seem more concerned with making sure that Pokémon are harmed and exploited than actually profiting from their plans.
Also of Pokémon fame, Team Meanies of Pokémon Mystery Dungeon. They aspire for world domination. Their evil schemes include rescuing a little boy so someone else's mother will give them a reward, trying to get a worm to join their team, stealing your mail, and, this being slightly sinister, rousing up the entire town you live next to into hating you and wanting your blood.
Their counterpart in the sequels, Team Skull (Team Poison Rose in the Japanese versions), are the same. Their only motivation is greed and harassing the players' team to make them look bad. Compared to the real Big Bad of the game and his Dragon, they're almost the Team Rocket trio in Pokémon form.
Team Flare from X/Y. According to the first mook you meet, their goal is "to make it so we're the only ones who are happy!". Later in the game, they upgrade it to "alive".
Chairman Drek makes Nefarious look like an amateur. The sheer glee he gets out of performing and boasting about his pointlessly evil acts, such as literally tearing apart, bombing and polluting entire planets (including his own planet) as part of the mother of all money-laundering real estate scams.
Charnel of Sacrifice, occasionally taken to rather humorous levels given he's an evil god of slaughter.
Charnel: He lies! Do not believe anything he says! James: ...What if he tells me you're a villain? Charnel: Don't believe anything else he has to say!
Another bit with him:
Pyro: Why should [the gnomes] suffer for the benefit of savage and brutish beings like the trolls? Stratos: I see only one savage and brutish being here... Charnel: Come, now, we musn't forget me!
In Sims 2, the Fortune aspiration often invites the Lifetime Goal of 'Become a Master Criminal'. In the 'random event cards', one of the two options offers on one involves putting the hero in a death trap while monologuing. note The other being more along the lines of just shooting them.
Generally Dr Ivo 'Eggman' Robotnik believes that his superior intellect means the world would be better off with him as a ruler, but he makes no pretence about being the villain, and seems to openly revel in the fact. Just the same he manages to be a fairly interesting character, largely because of how stubbornly persistent, childish, over the top and ridiculously inventive and resourceful he is.
The Ilwrath of Star Control II go on at length about how evil they are, as a matter of religion. They certainly do enjoy torture, genocide, murder, etc. However, you can induce a Logic Bomb by pointing out that, although they are certainly evil by external measures, by following the tenants and customs of their society, they are, in fact, good. Unfortunately, all this accomplishes is to convince them to try to slaughter you for being an annoying twerp.
M.Bison is the leader of an evil international organization named Shadaloo, and he's not ashamed to admit it.
Seth is the leader of S.I.N and makes no bones about how evil he is. In his SSIV intro he even goes on to say that all of humanity is just like him in a way in that they do whatever it takes to get ahead regardless of others.
JuriHan makes absolutely no pretenense about what a psychotic piece of work she is. In fact, she'll tell you herself; She loves killing people.
Oni, the evil form of Akuma, outright says that he's evil incarnate in his intro.
Bowser actively prides himself with being seen as EVIL, seeks evil locales for his castles, and enjoys being called "your vileness". Although, over time, he has also begun to pick up Noble Demon traits as well, with the Mario RPG's in particular showing that Bowser is capable of goodness, at least to some degree (although he doesn't like to admit it). Generally, how evil Bowser is depends on his role in the game and whether or not he is the Final Boss; with the main platformer series presenting him as more of an Evil Overlord and spinoffs presenting him in a more sympathetic light.
The Smithy Gang from Super Mario RPG wish to turn the entire Mushroom World into a mechanical wasteland and as Smithy says himself: "Get rid of all wishes and create a world filled with...WEAPONS!!". It's not known if most of the gang actually thinks of themselves as evil however we do get this line from the AxemRangers:
Judging from a certain Scream Fortress 2014 line, Merasmus of Team Fortress 2 seems to revel in being evil.
Merasmus:Most villains don't think they're evil. They think they're heroes. Not me! I'm reclaiming it! Evil wizard! I'm rotten to the bone and I don't care who knows it!
The Wolf Among Us has one appear in Episode 3 with Bloody Mary, whose idea of a fun time is living up to her Urban Legend namesake to kill her victims and feed their lungs to the family dog. She re-appears in Episode 5 and talks about how she wishes she'd been around to see people running in terror from the Big Bad Wolf. before he eats her.
Complicated literal case with Seiga Kaku of Touhou fame. She's a prideful, self-centered, Manipulative Bitch of a "Wicked Hermit" who styles her Spell Cards with names such as "Demonify 'Zouhuo Rumo'" note 走火入魔: A state of frenzy often associated with the mismanagement of the "vital forces" and "Evil Sign 'Yang Xiaogui'" note 養小鬼: A sorcery which enslaves vengeful spirits by using them to reanimate fetus corpses. She has no regard for the course of nature, flipping off both Heaven and Hell with Immortality Immorality and being a necromantic (and possibly necroromantic) Evil Mentor whom's main reason for doing anything can be chalked up to "It Amused Me"... She's also a very friendly and cheerful woman who loves socializing and hanging out with "interesting" people, and aside from the whole desecrating-of-the-dead-in-order-to-raise-them stuff, she never really does anything particularily bad.
Luke Atmey of case three of Phoenix Wright: Ace Attorney Trials And Tribulations. At one point, when good ol Udgey tells him that he's evil, he replies with "But of course! Evil is what I am!"
WarCraft: Gul'dan (in both of his incarnations - original and the Warlords of Draenor AU version). While Ner'zul had to be deceived into selling his race into serving the Burning Legion, Gul'dan went along with Kil'jaeden's plans willingly. He says several times that he doesn't care what happens to his race, and that he's willing to sell the orcs into demonic servitude solely for the purpose of getting more power for himself. He even proudly calls himself "Darkness Incarnate" several times in the franchise.