I think the real challenge with villains is to make them sympathetic in some way. Not that I want the reader to approve of their behavior, or root for them. But it's important that readers understands the "logic" of the bad guy's behavior. Why they act as they do.
I'm convinced that most bad guys don't think of themselves as bad. They've got a mission they believe in.
Some are simply psychotic of course, and those are least interesting. They can do anything the author wants them to do without any more complicated motivation than simply that they're wackos. That seems incredibly easy to me, and pretty boring to read about.
The best bad guys have some aspect to them that seems perfectly normal, perfectly understandable. We find ourselves identifying with them in some measure, or admiring their cunning, or their bravura. The best bad guys, (and bad women) are colorful and exotic and most of all they're free. They are the Id on the loose. That unrestrained part of human nature that we all know, but most of us hold in check.
Gene Hackman as a bad guy is a wonderful thing to behold.
Nurse Ratchet, please, not again, not that again.
A nice Chianti, okay, but hold the fava beans.