Man, that's a tough question. I almost have to ask, who is my favorite bad guy? Robert Culp? Jack Cassidy? Robert Conrad?........etc.
If I have to pick one, it's probably Exercise in Fatality with Death Lends a Hand close 2nd. The bad guys are just great in it. Both of them. Columbo is himself, in one scene in Exercise in Fatality, as Robert Conrad begins to tell him that he talked to Stafford that night, Columbo says......."I better write this down" and proceed to check every single pocket he's wearing before he finally figures out his notepad is in his back pants pocket. I think he even checked his side pocket on his coat twice. Classic.......hilarious. Good question.....