Sigma, he's got to be one incredibly menacing figure. Once an honorable Maverick Hunter created by Dr. Cain (a human), he one day led the biggest rebellion that caused some Maverick Hunters to go Maverick under his forces. So while Zero was created to succeed Dr. Wily, Sigma took over that role. Compared to Dr. Wily with rather hare-brained schemes, Sigma since the first X game really always made X's life a living Hell. And worse, he plans that Reploids would take over humans in the next step of evolution.
So what makes Sigma really annoying to X and badass to his fans is that he manages to come back one way or another. In the first X game, after X squashes the Mavericks (or Irregulars) he does manage to come back which causes really bad problems.
In X2, to take advantage of a more vulnerable X, he forms an alliance with Serges, Violen and Agile who are probably Wily's robots or Serges is Wily. At that point, the plan was to resurrect Zero. Sigma had plans to actually use Zero against X but it failed. X found out Sigma has become a virus and again, Sigma returns.
Now in X3, he manipulates Dr. Doppler for his own reasons. While Dr. Wily kidnapped Dr. Cossack's daughter Calinka so he can get his projects done, what does he do? He doesn't only do that, in fact, he has manipulated everyone around him. He revives Vile just so he can inflict more torture on X. In fact, it's revealed that Dr. Doppler was corrupted by Sigma just so he coudl become more powerful. Despite his form as Kaiser Sigma, he was defeated. He tries to take over X's body only for Zero to counteract him but for some reason, he returns.
In X4, he soon leads another dangerous plan. He starts a conflict between Repliforce and the Maverick Hunters so he can finally create the weapon to destroy humanity. How sick is that? At the same time, we realize he had a past with Zero. Zero was supposedly Dr. Wily's successor. Possibly, he was infected by the Evil Energy in Megaman 8 which soon allowed him to create the Sigma virus. In the midst of all his manipulation, it leads to the deaths of Iris and Colonel at Zero's hands (because Zero had no choice but to FIGHT) and for X, he played with his feelings using Double, his double agent who pretended to be stupid but was really a cunning adversary.
For X5, he planned a colony crash of the evil energy and for what? In fact, his plans were really to get Zero awakened from his false self. After all, he did reveal his fight with Zero in X4. So he uses that virus colony so Zero can be awakened from his false self and he is willing to risk a lot of Earth's population. That's really sick and I'd say, one way or another Sigma's scheming made sure X and Zero would destroy him for good. So X and Zero destroyed him... for now. In X6, he had the role of returning. Though Gate was the main antagonist, he foolishly revived Sigma for the sake of revenge. Sigma returned yet again.
In X7, he manipulated Colonel Red and the Red Guards. In that game, no wonder X became a pessimist because Sigma just is one awesome villain. In X8, he planned to cause the ascension of Reploids but was inevitably betrayed (and unknowingly manipulated) by his subordinate Lumine. It seems to be Sigma was destroyed forever in the vastness of space having no more backup programs thus causing the bad ending for this guy who we love to hate. But seeing that the virus is implanted somewhere, he may return.