Someone mentioned Locutus was the closest there was to a borg king.
Locutus was just there to help assimilate humans though, from what I understood. He was there because he understood humans (as well as starfleet classified info) and he would make the process easier to accomplish.
I got the impression that there might have been other versions of "locutus" (likely with different names fit for other species, seeing as how locutus is latin for speak, as in he is will speak to humans) for other species that the borg might have had difficulty in assimilating/conquering. Maybe that wasn't the intention but that's how I took it.
Anyway, I always hated the idea of an overarching borg queen, but I liked the idea that there would perhaps be different "ambassadors of assimilation" so to speak that the borg would prop up as a way to help them assimilate the tougher or less cooperative targets.
I didn't watch voyager though, and it probably contradicted what i'm saying. Don't ask me how I ended up in this thread, I have no idea.