Lucifer in Mike Carey's Lucifer. Despite being immensely powerful, most of his strategy was determined by a combination of will and smarts.
Too powerful to enter the fragile quasi-dimension which is Mansions of Silence? Bribe coerce and cajole a crew to enter it. Once they are on the ropes but have achieved their task, enter the Mansions and destroy it and billions of souls. Some old Japanese gods have your wings? Rely upon their feudal honour system to ensnare them, turn their assassin, poison the food of the most aggressive one, stare them down. A lord of the host of angels challenges you to a duel where he swears he will eat your heart, and you've inconveniently lost your powers? Hide your heart in a box. Destiny of the Endless bugging you with predestination? Burn his book. Fantasy makes the solutions to the problems farfetched, but the solutions are there.
I also liked Goodwin and Simonson's Manhunter. He solves his big problem with an old school 1870s tape recorder. He disguises himself as an informer in order to get information out of Interpol, so he knows what they know about him. And his opponents are just as smart. His clever effort to infiltrate the enemy base by disguising himself as a clone of himself is anticipated by his former ninja master, and under-estimating his foe nearly costs him his head.
