From Loki's perspective, most if not all of Earth's greatest superheroes are villains. Some of his coolest enemies in the comics are among the most heroic figures in the Marvel Universe, but there are exceptions. There are some differences between how cool some of his villains are, and how ridiculous others can be.
Disney+'s Loki places the God Of Mischief as the hero of the story for the first time in the MCU, but he has been heroic on a number of occasions in the comic books. In his fights against some of the greatest villains and some of the worst, he has shown many different sides since his debut back in the early 1960s.
Not Cool: Red Onslaught
Loki faced off against the Red Onslaught during the "AXIS" crossover event in 2014. This villain was an amalgamation of a clone of the Red Skull and Onslaught, the mental fusion of Professor X and Magneto.
Given the "Onslaught Saga" from the '90s is a comic crossover best avoided by the MCU in terms of adaptation, the repeat of this story with the addition of Red Skull didn't really do the character any favors. Loki briefly fought alongside the Avengers roster assembled by Magneto to defeat this foe.
Not Cool: Mother
The Kid Loki version of the character fought a parasitic supervillain called Mother while a member of the Young Avengers. This interdimensional parasite is unique in that it comes from the multiverse but had no real form.
Its primary objective was to leech onto children without parents to essentially be their parent. Mother wasn't the most interesting or threatening villain as the comics go, but given their connection to the multiverse, there's a decent chance some version of the character could appear in the MCU soon.
Not Cool: Morwen
Morwen is a sorceress who was once trapped between dimensions, but the lack of any key details to her backstory or unique powers left her in the "not cool" category.
She is responsible for one of the unlikeliest friendships in Spider-Man comics though. In Amazing Spider-Man #503, Morwen inhabited the body of Tess, Loki's human daughter, leading him to team up with Spider-Man to free her. The two managed to defeat Morwen, and she hasn't appeared since, underlining how uninteresting she was in her initial outing.
Not Cool: Ultraforce
Ultraforce was the Avengers of the Ultraverse, the superhero realm of Malibu Comics back in the early '90s. The characters mostly weren't very interesting, with many obvious comic book homages like with Prime (a take on Shazam). Loki fought them in Avengers/Ultraforce, a crossover between the two companies.
Loki battled the team while he was searching for the Infinity Gems in the Ultraverse. This battle ultimately led to the integration of both the Marvel and Ultra universes, as Marvel had bought Malibu Comics. The Malibu characters have rarely been used in Marvel continuity since, however.
Not Cool: Mangog
Right on the line between lame and cool is Mangog. Mangog in many ways is a classic Jack Kirby monster of the Silver Age, debuting in Thor #154 in July 1968.
He's not as visually interesting as many supernatural monsters from the period though, and his extreme powers - virtually infinite strength among them - never seemed to translate into good stories. Loki fought against Mangog, alongside Thor and Odin, when the alien being tried to invade Asgard from his own celestial realm.
Coolest: The Avengers
Loki was the villain behind the formation of the first and arguably best Avengers roster in the comics. To him, they're some of his most persistent villains. In many ways, they're among the coolest.
The Avengers are comprised of his brother, Thor, Iron Man, Captain America, the Hulk, and many others. All of them have faced off against Loki together or separately over the years. Loki has sought revenge against them several times since their initial encounter in Avengers #1, including the Acts Of Vengence storyline from the early '90s.
Coolest: Norman Osborn
Norman Osborn is a major villain in his own right, as the notorious Green Goblin. He's one of Loki's coolest villains in many ways because of how equally devious they are.
After the Secret Invasions storyline, Osborn formed the Dark Avengers and Loki attempted to sow dissent in this group through various means. One of his attempts involved him impersonating Wanda Maximoff, the Scarlet Witch, and leading the Avengers into a battle against Chthon, the God of Chaos Magic and the source of Wanda's magical powers.
Coolest: The Void
The Void is one of Loki's coolest villains because of how merciless he is. The evil doppelganger of The Sentry, the leader of the Squadron Supreme, The Void actually accomplished what few heroes or villains do against Loki. The Void killed him, tearing him apart at the end of the shocking Seige storyline.
Loki had sought to gain control of Asgard by manipulating the Avengers, but it ended with his death and the near destruction of the Asgardian people.
Coolest: Surtur
Surtur is one of the coolest villains in all of Marvel Comics. The Fire Demon is at the center of the Ragnarok prophecy that foretold the doom of Asgard.
Loki fought alongside his brother and father in "The Surtur Wars" to defend Asgard from the creature. Loki also fought against Surtur on a number of occasions, including after he had actually seized control of Asgard. He set aside his ambitions and differences with his family to defend the realm against Surtur, using his magical powers to try and fool the demon.
Coolest: Thor
By far, Loki's coolest enemy is his brother, Thor. He both envies and respects the God of Thunder, and most of Loki's nefarious schemes over the years have been focused on Thor. Loki has done everything from trying to trick Thor with illusions to turning him into a frog for a time.
Their mutual hatred has been set aside at times, like in the battles against Surtur or The Void, but their relationship in Marvel Comics has been antagonistic since the beginning.