I am voting easily for Gyp. The guy is completely crazy. Completely looney. From that first scene with him beating to death that poor old man for making the "3 in 1" oil comment. Truly that was completely insane.
Insanity and evil are not the same. Gillian was pretty bad but any chance she had for a normal life was taken from her by Nucky and the Commodore. Her emotional development ended at 13. He's just a secondary character, but my money is on Purnsley.
I don't know that I would call her evil, but Lucy was a world-class bitch. I nearly choked when she was in the fitting room and told Margaret 'I don't go for cheap merchandise'. All the money in the world couldn't disguise the fact that Lucy was a cheap, trashy whore.
Maybe we were supposed to feel sorry for her when Nucky got rid of her but I couldn't. Lucy was no genius, but as dense and she was she still had to know Nucky would not keep her forever.
Billie was smarter and nicer but in some ways worse than Lucy. At least Nucky was not married when he was with Lucy; Billie knew he was and still carried on with him.
My vote's for the commodore as well. Gyp was definitely insane but I always thought his character(and that season centered on him as the villain entirely really) was kind of over the top and probably my least favorite season. To me it just seemed that they wanted to portray him as so violently insane that it was no longer believable, but the commodore(esp in the last season) was really portrayed as being heartless, calculating and insidiously evil once more of his backstory is revealed.