Marvel's but Thanos fits the bill well for multiple reasons.
In fiction, a "Mary Sue" is a character who is notably lacking in flaws or weaknesses, often possessing an unlikely range of skills, powers or expertise that allow them to succeed in every scenario. The name was first used in a Star Trek fan-created short story that itself lampooned the overuse of fan-insert characters (thus, the first Mary Sue was herself an intentional Mary Sue). It must be noted that simple competence does not a Mary Sue make; they must be supremely gifted to the point of straining the audience's credulity (oddly enough, Wesley Crusher from Star Trek's own Star Trek: The Next Generation show is an excellent example of a Mary Sue). Often, a Mary Sue is marked by a sense that the writer is excessively concerned with showcasing one character, warping the story to show them in the best light.
Thanos is a gaudy comic book villain at first glance; he's a purple-skinned, gold armor-wearing megalomaniac who desires nothing less than to court Death (who in the Marvel Universe is an actual entity). But unlike the various raving mad scientists from the Silver Age of Comics, Thanos is far more varied in his interests - a genius master of all scientific disciplines, as well as an intergalactic Lothario and near-unbeatable combatant. His plans involving the Infinity Stones cemented him as a terrifying cosmic villain, but perhaps the best indication of his Mary Sue status is that when he loses a fight, it's rarely presented as an instance where he's outsmarted or outfought. For example, in 1991's Infinity Gauntlet, the story begins with Thanos already in possession of the gems and successfully conquering the universe. He only loses this power thanks to leaving his physical body while he transcends - an error which is later explained as him subconsciously not believing he deserves to succeed - and he still escapes to live out a pastoral retirement of his choosing.
This pattern of Thanos attaining ultimate power and defeating all enemies, only "losing" because he's too smart and psychologically complex to be comfortable with godhood, returns again and again through creator Jim Starlin's time with the character. Under Starlin's influence, Thanos managed easily go toe to toe with Odin (as seen in Warlock and the Infinity Watch #25.)
Starlin's stories are thrilling space epics, but over a long career, he's constantly revisited Thanos to emphasize just how unbeatable he is. Starlin even introduced the Thanosi - identical clones of Thanos - to explain away any time Thanos was seemingly defeated. This level of creator investment means that while (like other heroes and villains) Thanos is the end result of many different creators collaborating on his stories, he's also benefited from decades of his creator consistently inflating his power and importance.
It must be noted that Thanos doesn't share all Mary Sue characteristics - namely, he certainly is not universally adored. As a villain, however, this is part of the job description. Thanos is a fascinating character and a fitting villain for the Marvel Universe, but his rise to power hasn't been a happy accident. Seeing how many times his "losses" are actually him defeating every enemy then making the decision to give up his newfound power, it's hard not to see Thanos as Marvel's Mary Sue Supreme.
