If I define the villain based on how "effective" they were, aka how much did they actually shift the MCU. My votes would be:
Thanos: While half of life ultimately returns, the amount of catastrophic devastation across the entire universe simply cannot be overstated. Thanos changed the entire game. Further, his mere existence haunted Tony Stark for years, and ultimately his acts led to the deaths of three avengers (Tony, Nat, Vision).... a feat no other villain has replicated to date. I mean other villains had their moments, but in "defeat" no one else "won" like Thanos did.
Hela: While somewhat indirectly, ultimately her actions lead to the destruction of Asgard....for good. I still would go with Thanos, but in terms of long impacts Hela is still up there.
In terms of the villains "coolness" or style, I would do with:
Zemo: The most mortal of all villains. He had no big tech, no magic powers, just as he quoted "Experience and Patience". And yet with these tools assassinated the King of the most advanced nation on earth (Wakanda), split the Avengers apart (which may have ultimately weakened their response to Thanos), and has lived to tell the tale. Also what makes Zemo interesting..... he's not exactly wrong. The avengers (Tony and Banner specifically) effectively destroyed his country and killed his family with their mad experiments.... and faced almost 0 consequences in terms of incarceration. Zemo's desire for revenge is understandably justified, even if his actions are not. I also think Zemo got to add a bit of swagger in FWS which made him even cooler. Even then he is reminding the Avengers of their lapses (the scene were he scolds Bucky and Sam for never visiting the country their team ruined is a powerful one).
Killmonger: For many similar reasons to Zemo, Killmonger has strong justification for his actions....and frankly he is right in a lot of ways. Further, Killmonger is one of the few villains who seems to truly be doing "evil" for at least reasonably justified reasons....as he wants to liberate thousands of people across the world.