I keep seeing people mention 'mistborn' for this, but honestly, the Lord Ruler feels more like a god-king with some dark underpinnings than a straight-up demonic entity to me. The real demon god energy I've encountered lately is in some translated cultivation novels – stuff like 'Reverend Insanity' has Fang Yuan, who ascends to a truly terrifying, amoral pinnacle that feels more demonic than divine. Those xianxia antagonists often embody a cosmic-level malevolence that Western fantasy sometimes shies away from.
On a different note, if we're talking classic Western fantasy, Moorcock's Eternal Champion saga has Arioch, a Lord of Chaos who operates on a multiversal scale. He's less a 'final boss' and more an ambient, existential threat. The vibe is different from a D&D-style demon lord; it's more about philosophical entropy given form.
For a more recent take, 'Between Two Fires' by Christopher Buehlman pits its characters against a biblically-proportioned, plague-bringing adversary that absolutely fits the bill. The horror is grounded in a corrupted medieval world, making the divine-level evil feel visceral and immediate.