I WOULD have said Zant was the most effective villain, story-wise, appearance-wise, intimidation-wise, etc. At first, he gave off that aura of total ruthless control, from the way he storms Hyrule Castle like it's child's play and the way he just gives Zelda her chilling ultimatum: surrender or die. He came off as incredibly confident in his power, and with good reason. That cutscene where he confronts Link and Midna in Lanayru's Spring is proof of what Zant could do; knock Link aside like a doll and manipulate Midna like a puppet, plus the chilling and merciless way he spoke.
That being said, after Ganondorf was introduced to the plot, Zant was kind of ruined, his role as villain tossed aside as a pawn and his impressive character torn down as a deranged madman. Really made me lose all respect for him.
So, since Zant is no longer an option for me, I would then say Majora, since like Zant, Majora gave off the initial impression of a callous and powerful supernatural being. The turning Link into a Deku Scrub and the summoning of a supernatural moon was proof of his power. The scene inside the moon was simply spine-tingling, since the juxtaposition of the apocalypse with the moon interior was just chilling. The only thing that ruined Majora for me was the child-like persona put on near the end, and the way the final boss battle seemed to indicate a loss of sanity, or perhaps a lack of sanity to begin with, on Majora's part. It showed a loss of control, which ruined a bit of the frightening aura set by the rest of the game.
I am hoping once Skyward Sword comes out that I'll be able to say Ghirahim is the most effective villain, since from what we've seen so far, he's not only an insanely powerful enemy (he can block and catch Link's sword with his hands for crying out loud), but he also has that chilling OMG CREEPY personality in a way that really intimidates the player. He gives off Zant's maniacal vibe, but without the deranged vibe that ruined Zant's character. I have high hopes for Ghirahim as a character and am really hoping the ending of SS doesn't ruin it as it ruined many other villains for me.