A great case. I'm actually going to add to it (thus sabotaging my own efforts), with ten examples from The Empire Strikes Back that make him such a great villain. In this film in particular, Vader doesn't give our heroes an inch, and really forces them to rise to the occasion - not to defeat him, but merely to survive (barely) until the next film.
(NOTE: I'm not counting the "failure at the cave" scene, as technically Vader isn't there, he's a construct of Luke's imagination.)
1. "You are in command now, Admiral Piett." Rapid promotion is a very real possibility, working for Darth Vader. So is telekinetic strangulation, as Admiral Ozzel discovers. ("You have failed me for the last time.")
2. The moment where Vader marches into the Rebel base on Hoth. Vader is a villain who rolls up his sleeves, gets his hands dirty, enters the battle, and essentially leads by example. (He did the same thing in Star Wars, during the Death Star battle, by hopping into his TIE fighter and joining in.)
3. "No disintegrations." Although he has the vast resources of the Empire at his disposal, Vader is a practical, pragmatic villain. He knows the snobby attitude of the by-the-book Imperial officers has limits, and that in order to catch the slippery Han Solo, he needs people who think as Solo does. So Vader hires a load of disreputable mercenaries, including Boba Fett, to get the job done. Smart lateral thinking.
4. "Apology accepted, Captain Needa." Needa bravely takes responsibility for losing the Millennium Falcon and apologises to Vader. Vader kills him, culminating in the aforementioned classic line. No quarter is given. No mercy. Do as is required of you, or face the consequences.
5. "We would be honoured if you would join us." Vader's shock appearance during Lando's betrayal is a genuinely hair-raising moment in terms of it's depiction of Vader's awesome power. Han Solo immediately opens fire on Vader, but Vader just lifts a hand and uses the Force to deflect the bolts, before also using the Force to yank the weapon out of Solo's hands and catch it. Bad-ass.
6. "I'm altering the deal, pray I don't alter it any further." Vader's sheer ruthlessness during the Cloud City sequence takes some beating. Having just carbon frozen Han Solo, his manipulation of and threats towards Lando are exemplary villainy. With Vader constantly changing the terms of their agreement, Lando comes to realise it was never a negotiation. He was being told what would happen in no uncertain terms, and he'll be lucky to escape with his life.
7. "The Force is with you young Skywalker, but you are not a Jedi yet." The lightsabre duel between Luke and Vader is the greatest, most exciting, most dramatic lightsabre duel in all the Star Wars films. It is played superbly, as Vader is an immense physical threat, unquestionably stronger than Luke, who has been foolhardy in rushing to face him before his Jedi training is complete. Look at the way Luke attacks him holding his sabre with two hands, whereas Vader effortlessly holds him off with one hand. Then look at Vader's sudden, alarming agility, as he leaps down towards him, forcing Luke back. Then there's that incredible moment when Vader uses the Force to throw objects at Luke, overwhelming, battering, and exhausting him, before smashing him through a window. It's an incredible scene, brilliantly prefaced with Vader's off-screen menacing breathing. There's a reason Vader is the stuff of nightmares, and this moment ably demonstrates as well as any other.
(MAJOR SPOILERS BELOW - for the two people in the world who haven't seen The Empire Strikes Back.)
8. "I am your father." As far as I'm concerned, the greatest plot twist of all time. Need I say more?
9. "Luke, it is your destiny." Following the above shocking revelation, Vader communicates with Luke telepathically, as his ship closes on the Millennium Falcon. Luke's despair at this moment is palpable. He knows there is nothing he can do. Vader has him completely in his power.
10. Following R2-D2's last minute heroic repair of the Millennium Falcon's hyperdrive, and our heroes's escape to to light speed, Vader does a hilarious double-take, as Luke evades his grasp at the last minute. Then he strides past anxious looking Imperial officers, clearly worried that Vader may kill a few of them for failing. But this time Vader kills no-one, as the failure is his.