Probably Jack the Ripper. I'm sure this is mainly becasue of all the hype and mystery that media has placed around him all these years. But just the fact that his crimes were so brutal (and got progressively worse), most were done out in the open and he was never caught.
Yes I totally accept the fact that if the murders had happened today he would have been caught after the second death but still there is something so........fasinating and eerie about this enigma of a man.