I'd have to go with the mayor. He's just such a unique and unconventional villain that I was very sad that he had to die. From his genuine father-like attitude with Faith to his obsession with what I like to call "good clean family friendly evil," he's so unlike any other villain that I can think of and he's just so darn entertaining to watch. Bringing back Glory would be a close second for me as I believe that she was Buffy's single greatest challenge, but the mayor just steals every scene he's in so he gets my vote for a return.