Several protagonists featured in the Grand Theft Auto series certainly qualify: Tommy Vercetti (a mobster willing to kill anyone for money and not feel any remorse for his actions), Luis Fernando Lopez (besides a thug with feel no remorse, he actually seems to enjoy) and Trevor Phillips (a Ax Crazy committing atrocities simply because he likes it).
And come several antagonists to this trope: Lance Vance, Tenpenny and Pulaski, T-Bone Mendez, Catalina, Dimitri Rascalov, Billy Grey and Ray Bulgarin.
A friendly nerdy character in Bully flat out calls Gary, your supposed "ally" in the game, a sociopath, to which the main character doesn't know what that means. It turns out the nerd was right, and all it took was for Gary to run out of medication to become a sadistic sociopathic lunatic who takes control of the entire school, ties up the headmaster, and then attempts to take over the entire town. Also, he makes a few good attempts to KILL the player in the final battle.
Morinth in Mass Effect 2. The mission overview after Samara's loyalty mission even says that her biotic powers would make her an excellent addition to the squad...if her "sociopathic tendencies were mitigated." Though you can kill Samara and recruit her anyway.
Quarian Admiral Daro'Xen displays several classic signs of sociopathy as well. She especially shows it in matters related to the geth, whom she plans to, as a race, mind-wipe and return to their "rightful place" as the quarians' slaves. Tali'Zorah flat-out calls Xen insane when this bit of info comes out, showing that even among the anti-geth quarians Xen's stance is seen as radical. Also, Xen apparently used to perform surgery on childhood toys; Tali's response is predictable. Lastly, she shows unhealthy interest in Legion (your geth squadmate), once expressing the desire to dissect the poor thing to see what makes it tick (which Paragon!Shepard is having none of, by the way).
Tohru Adachi in Persona 4, who initially hides behind the mask of a Nice Guy, though when revealed shows himself as a sadistic manchild who finds entertainment in ruining the lives of others with a tendency of violently lashing out at women who spurn his advances.
Vanitas seems to fit the mold at first, but the origins of the Unversed prove he is a subversion. Rather than being callous and lacking in anything but the most shallow emotions, Vanitas is comprised of nothing but negative emotions. And he creates a new Unversed with every negative emotion he has. A true sociopath would not be able to feel deeply enough to create them in the first place.
Nobodies are by their very nature sociopaths, since they lack the hearts required to form bonds or experience true emotions. The members of Organization XIII function at varying levels, with the exceptions of Roxas and Xion, the former of which actually does have a heart; the heart of the aforementioned Ven and the latter of which isn't even a Nobody. Another member, Axel, does gain emotional care for Roxas and Xion after hanging out with them, but it's only for them; he is still a sociopath in regards to anyone else.
Irenicus and Bodhi from Baldur's Gate II: Shadows of Amn. In their case, it's a magically caused condition, though from what we hear, they weren't exactly nice people before.
The real Alex Mercer from Prototype. After all, he "wasn't paid to feel."
Hitman's protagonist, Agent 47, is a sociopathic clone who is also the best assassin the ICA, Agent 47's employer, has at its disposal. He tries to avoid unnecessary deaths, but that is only out of professional pride and a desire to avert suspicion; he will murder anybody who inconveniences him.
Danny St. John from The Walking Dead, while Danny himself is mostly not explored, due to his limited amount of time on the game, we did find out, he was a cannibal, he killed Jolene just because she knew his secret, and he even gave Lee tips on how to cook him when he got trapped in the beartrap.
Dahlia Hawthorne from Phoenix Wright: Trials & Tribulations. She is arguably the cruelest and most evil character in the entire series, and has the longest list of intended murder victims out of any of the other killers Phoenix has encountered. At one point, she explicitly states that she has never cared for anyone or anything aside from herself, and she plots to kill Maya simply to get back at Mia from beyond the grave.
Also, Matt Engarde from the second game. He's so disconnected from any sort of moral compass that he honestly believes that he's innocent of murder because he didn't kill the victim himself, despite hiring the assassin who did.
Dual Destinies gives us the rather creepy example of Bobby Fullbrush, AKA the Phantom. According to a psychological profile done by analyzing his vocal inflections, he experiences little to no emotions. However, as his disguise proves, he's very good at faking them. He gives the perfect performance of appearing happy when Blackquill says he believes in Fullbright's innocence, only for Athena to reveal that there's no indications of the actual emotion of happiness in his voice. When she tries to put his testimony through the Mood Matrix, he first comes up as completely blank. When he's called out on this, he then makes his emotions fluctuate so much that it's impossible to get a reading on him. Exactly how this works is left unexplained, but he implies that he simply trained himself to not feel emotions, hence his ability to fake them. Although it turns out that whether or not he'll admit it, he does still feel one emotion - fear, as brought on by the threat of death.
Hades from Kid Icarus: Uprising. He instigates a pointless, international war that results in the deaths of millions of humans for no other reason than to harvest their souls to either create more underworld monsters and do whatever else he wants with them (As well as for his own sick amusement), and has absolutely no remorse for his actions. Even when he helps out during the Aurum Arc, it's not out of alutrism, it's only because he wants to be the one to destroy humanity.
Luca Blight from Suikoden II, the "MadPrince" of the Highland kingdom. You get a good idea of his personality in his Establishing Character Moment in which he orchestrates a massacre of children training to be soldiers on his side to rally up support to restart a pointless war with a neighboring nation, while mocking their deaths and regretting not joining in the massacre. He continues to commit atrocities throughout the game, brutally killing scores of people For the Evulz including his own father, while displaying a level of sadism and Lack of Empathy that disturbs even his underlings. Even during his Final Speech, he not only displays a complete lack of regret for his horrific actions, but actually boasts triumphantly of them while reveling in his unredeemably vile nature.
Colonel Jade Curtiss from Tales of the Abyss is a high-functioning example, and very much aware of it. Formerly a Child ProdigyBlack Mage who tortured monsters for fun, he could have been much worse if a mentor hadn't stepped in to give him some sense of morality. As is, his old mistakes haunt him, and it troubles him somewhat that he doesn't understand what it means to end a life.
Syndicate (2012): Agent Merit's dossier remarks that all Agents are expected to be psychopaths, but Merit is psychopathic even by Agent standards. Also, the corporate, ethically bankrupt Syndicate society effectively fosters a general attitude that the lives of others are meaningless except to the extent they can be used to benefit yourself.
Super Paper Mario gives us Dimentio who is for all intents and purposes, Mario's Kefka Palazzo and one of the most disturbing examples of this trope in a Mario game. Hiding his monstrous intentions under the veneer of the ditzy jester, he uses his superficial charm to manipulate everyone in the game in order to obtain the Chaos Heart and remake the multiverse in his own image. And it's implied that he's motivated solely by his insanity. He's also very sadistic, killing Mario and the gang with no remorse and cracking jokes about their deaths. He also views love and similar emotions as weaknesses to be exploited. His last act, however, is what hammers home his sociopathy. When defeated for the final time, he leaves a shadow of his power behind to continue controlling the Chaos Heart to ensure that everyone in existence will die with him. Meaning his last act was one that would ensure the deaths of untold trillions. There's a reason why he's considered one of the darkest villains in the Mario series.
Mario & Luigi: Partners in Time has Princess Shroob, the leader of the Shroob race. Though she has the sympathetic motive of finding a new home for her Dying Race, this motive falls horribly flat as she commits various actions that seem driven by pure sadism. Two notable examples are feeding Princess Peach to Petey Piranha in front of a Shroob audience and shooting down the Koopa Cruiser while laughing. Her Lack of Empathy also seems to extend to her sister as she made virtually no effort to free her from the Cobalt Star and showed no indication that she intended to.
While most of the villains in Eternal Sonata are bonafide psychopaths, the two who stand out the most are Fugue and Waltz. Fugue is the sadistic Evil Genius of the group who's Establishing Character Moment has him attacking Frederic and Polka just because he's wet. Waltz is just as bad, if not worse. He creates a substance called mineral powder which is said to cure diseases, but also has a side effect of turning people into monsters. Why does he want to do this? So he can have an army to help rule the world as he feels that this is the best way for people to remember him.
Kyrie Ushiromiya in Umineko no Naku Koro ni displays quite a few elements of this. While she appears to be nice and smart, she also always shows a cold, calculating side, keeping either a faint smile or a deadpan expression. There are a few red flags of her sociopathy in Episode 3 and 5 (where it's mentionned that she can sometimes "think in an extremely cold and ruthless manner"), and Episode 7's Tea Party makes a full display of it. Not only does she claim that she doesn't give a crap for her daughter Ange, but she isn't overly shaken by the death of her husband and accomplice either, and is in fact rather pleased that he is out of the way. Add to that a brief Hannibal Lecture to Eva, and you have one of the scariest characters of the series.
Possibly Kotomine Kirei of Fate/stay night. He describes himself as never feeling happiness from the happiness of others, only finding joy in their pain and suffering, and being incapable of loving someone else. Interestingly, because he was born to a very religious man, he considers himself a "defective person" and spent most of his life trying to "fix" himself, only to give up ten years before the story. His ultimate goal is to try to understand why a good and loving God would create a seemingly inherently evil person such as himself. He is definitely cunning and manipulative, an excellent liar when he wants to be (he prefers to amuse himself with Brutal Honesty), and is charming in his own way, although the story's protagonist takes an instant dislike to him.