Until the end of the Cell saga when he was given a high dose of humility, Vegeta was a villian by all meanings of the words.
In terms of simply being my favourites, Kid Bu, Cell and Freeza are my top 3 and it depends on the day I have who is my favourite, but I have to say that I've never seen any bad guy goes to the good side as well done as Vegeta.
He was much worse than Cell and more comparable to Freeza in terms of being evil (with Vegeta being less of a psycopath, but much more sadistic than Freeza) when he was unrestrainedly evil, then he began a gradual process of just being ally with the good ones, starting to integrate to them but still being 100% Vegeta in the Cell saga and finally after years and years of integration (Bu saga) still having regrets due to his violent nature.
Any other series where a bad turns good, he becomes good in the following saga and in some series even doing some heroic things. And by the time in most other shounens that baddie is already a completely trusful part of the crew, in DB Vegeta helped Cell achieve perfection and was still very convinced that he would kill Goku someday (at least that's how I think androids-sub-saga Vegeta still was thinking).
Toriyama surely knew how to write solid and coherent characters, that's why DB is still so popular nowadays.