I think that pretty much sums it up for me too!
There should be a level of devious genius, an immorality that doesn't quite reach cruelty, but has an edge that suggests that my bad guy could be cruel if he so chose. A sense of humour is a must, and I want absolutely no hint of petulance. I want my bad guy to be self aware, creative and to have a code of honour, even if that code is not quite on a par with the good guys.
Hannibal Lecter has a lot of these aspects for me, but his cannibalism took him too far to 'the other side'. I remember at one point in one of the Thomas Harris stories that he leaves a certain guard alone when he escapes. He does this because the guard always treated him with respect, and this was how he repaid him.