Villains from the dark fantasy genre—a combination of fantasy and dark elements often to the point it's associated with horror.
The setting of these stories are often brutal, and involve morally dubious heroes (or no heroes at all). Good does not triumph over evil very often, and the general population lives in misery and/or conflict. Unlike many other forms of fantasy, these settings do not indulge in whimsy or "fairy tale" aspects, and instead focus on brutality, much like ancient myth and folklore.
A famous example of this is the Game of Thrones series of books and live-action media.