Hmmm... Great thread.
Although it's been said countless times, Darth Vader's entrance is the best in cinematic history. I suppose I ought to say "entrances" since he reprises a powerful appearance in The Return of the Jedi when, accompanied by a bold and chilling statement of The Imperial March, he descends from the shuttle and through a cloud of smoke (the exhaust fumes from the shuttle). Brilliant.
The Balrog in FotR. First we hear its roar, which sends the goblins packing. Then you see the dread creep into the face of the Fellowship, particularly Gandalf and Legolas. Then you see the halls lit with flames as something huge approaches. Then Gandalf says, "Run!" and they do. After a long, action packed sequence on a bridge (great encounter!), just when the audience thinks the Fellowship escaped the invisible threat, just as they're racing to the Bridge of Khazad Dum, Gandalf turns to a wall of fire when this huge, horned monstrosity emerges (fantastic teleport spell-like ability) and roars. It's so hot that the air wavers before it. And The Balrog gives chase.
Sauron in FotR. In one shot, Sauron knocked Vader down as being the best dressed villain in fantasy. First we get the horrific zoom-in to his helmed face right before we see his entire form surrounded by flames. If that's not a satanic image, I don't know what is. Oh, and let's not forget what happens when he comes out and lays the smack down on the Last Alliance. Awesome Blow owes its existance to that single sequence in the film.
Superman. As Lois dangles from the helicoptor, a witless Clark Kent exists the Daily Planet and sees a piece of Lois' clothes on the floor. As soon as he looks up and realizes what's happening, the dazed, goofy look on his bespeckled face disappears and he's all business. Accompanied by building chords that hint the Superman fanfare, he looks around for a place to change (ignoring the small phone booth). Then, he finds his place and, with an especially heroic statement of the Superman March, he pulls rips his shirt away to reveal the "S" shield. BRILLIANT!
Batman. Two pathetic muggers think they're safe on the roof tops of Gotham City, having just purloined a wallet and purse from witless tourists. As they go through their ill-gotten loot, they don't see the huge, winged form descend from the night sky behind them until it's too late...
Khan from Star Trek: The Wrath of Khan. Held in check by a bunch of super humans, Chekov and his Captain are forced to watch the apparent leader of the cabal, slowly remove his mask and protective gear. With the slowness of dripping bile, the gloves, then the cloak, and then finally, the mask is removed to reveal.... Khan.
Pinhead from Hellraiser II: Hellbound: When the Cenobites are called back to this plane early in the film and Pinhead emerges from the illuminated cooridor... pissed as all Hell.
The Headless Horseman from Sleepy Hollow: Although we get a glimpse of him early in the film and when he kills elder Masbeth, it's the scene with the Magistrate that takes the cake. As Crane confronts the Magistrate about the legend, first we see the lambs take off. Then, the wind picks up. Then we hear the shriek of a horse. As the Magistrate takes off, the Headless Horseman tears out of the surrounding woods to deliver once of the best (and most... well... amusing) decapitations in film.
Keyser Soze/Verbal Kint in The Usual Suspects: Although this is at the end of the movie, in a way, depending on how one reads it, this is the only introduction of the films antagonist. Having been released from the LAPD, Verbal Kint leaves the building just as Agent Kuon (sp?) has a revelation. We watch as the "gimp" limps down the sidewalk... as his limp suddenly disappears and how he draws and lights a cigarette with his formerly palsied hand. "And like that... he's gone!"
Merlin in Excalibur: The best known wizard emerges from a blood red, smokey haze to witness the final triumph of Uther over all those opposed to the future Merlin hopes to orchestrate. First we see his shadow, and then we see him, and then we get a close up. Cool.
Hannibal Lecter from The Silence of the Lambs: Yeah. We hear about Lecter for at least 10, 15 minutes before we, along with Starling, are rushed deeper and deeper into the bowls of the earth, listening to instructions that should keep us safe. Then, we and Starling are forced to walk a long, narrow hall, until we reach the last cell where, waiting for us, is Hannibal "The Cannibal" Lecter. So debonair. So dapper. So dangerous.
Wow. There're so many!