Seriously, when was the last time you saw a villain and you actually like him? I tell you there's far too few of those around. Now you probably wonder what makes a good villain. Well, there are a few things I could mention.
1. Alignment
We live in a world where nothing is just black or white. When is the last time you saw a perfectly good person or a perfectly evil person? I'll tell you. Never. Besides, black and white are boring. They are predictable. Nobody likes to figure out the entire story of a book in the first 10 pages or figure out how the movie's gonna end in the first 10 minutes. Being a dick is not the same as being completely evil. Wanting to become the king of the world isn't evil. Stealing a baby's lollipop, now that is evil. Intentionally causing pain to somebody else (especially somebody who can't defend themselves) in order to satisfy your own needs is very, very evil. More about that in point 4.
2. Humor
Villains usually aren't funny. They can be ridiculed by the hero or by somebody else, but they aren't funny themselves. If your hero (of somebody else) can ridicule the villain, then he can't be taken that seriously. Don't get me wrong, you might want your villain to be a figure of ridicule (i.e. Mario's archenemy Bowser). It all depends on what kind of villain you want. But in the end villains themselves usually don't make the jokes.
3. Motivation
"OMG, I'M SO GONNA DESTROY THE UNIVERSE NOW" Erm, I don't think so. Who cares if you want to destroy the universe. Seriously, stop acting like a child. Yes, children sometimes are like that. "I want to do something just because I feel like it." Except if your villain is actually nuts and completely unpredictable (in which case you would find better stuff for him to do), I suggest that you give him reason for his actions. Also, powerhungry heartless bastards are completely misinterpreted. "I want to take over the world to rule it!" Who exactly says that he's gonna be a bad ruler? What if he'd take the land into the next golden age? And you stopped him, hero. Great job, idiot. Causing pain or causing pain for the own better are probably the only really evil actions I can think of. Everything else is just childish, don't you agree? "I want this and that."
4. Good is evil and evil is good
Selfishness is one of the most expressive human flaws. Seeing somebody satisfying that selfishness usually fills us with envy. When somebody satisfies their selfishness over the pain of others, then instead it fills us with disgust. We have somebody we can hate. Yes, that bad person did get what he wanted at the cost of others' suffering. But we have needs, too. And seeing somebody satisfying their needs like that gives us an excuse to look down on that person even though that somebody has satisfied their needs. We hate somebody for being happier than we are (even though we believe to have a valid excuse for it). Who's the real monster here?
5. Good becomes evil and evil becomes good
One of the definitely most interesting villains had a touch for good things. Some of them did all evils actually for a good cause. Some of them have mercy on their enemies. And some of them simply aren't cowards. You're still not on the side of the villain, but you can't help but respect him. Is he lame? No. He just spared the hero. True, he was an ass and acted completely superior and arrogant, but he did spare the hero. Of course that makes the hero raging. Can you feel the emotion? Can you see how powerful it is to give the bad guy a good trait. Suddenly he actually can act superior. He has something to back it up. Doesn't that make you even more raging? Oh yes, it does. Welcome to the good villain and bad hero. Suddenly you find yourself on the other side and you don't mind as long as you can take out your enemy. Imagine giving that feeling a perfectly normal and righteous person. Don't you think that kind of "hypnosis" of the player is amazing?
6. Originality
And of course, the evil king will kidnap the princess. Come up with something more original. Or at least come up with something more complicated. An interesting story isn't completely original. In fact it's almost not original at all. But what makes a story interesting is how you line up events. Cause and consequence is your key term here. Original is cool, but almost everything good has already been used up. Everything that is original is usually idiotic because the only "original" ideas that nobody has used yet are the ones that suck. Remember, original spice is good, but an original meal isn't. Make a story that makes sense and that has content.
7. Logic and reason
Your villain was after some sort of power that was promising to be able to give him godlike powers. And suddenly he destroys a city. Wait what? Why would he do that? What does he gain by it? Oh, he stopped the heroes for a bit. But wouldn't something else be much better? Why spend 2 days in preparing to destroy a city and finally destroy it so you can delay the heroes for 1 day? In case you didn't notice, you just lost a day.
Another example. A villain destroys a city to scare the heroes. Or did he? Maybe he wanted to provoke the heroes? What reason would he have to destroy a city just like that? If you keep reasoning hidden for a while, you can make a villain much more intriguing even if in the end it actually ends up being quite a lame reason. Maybe his plan didn't even work. Or maybe it totally worked. The same goes for heroes, but we're not discussing them here right now.
8. Mystery
Mystery is one of the best things that exist. Plot twists are cool, but multiple plot twists can be better if done well. If the heroes already have assumptions about the villain's intentions, it will not really be a big surprise when they find out that they were right. But it will be amazing if the heroes are so sure about some assumptions, yet suddenly it turns out the villain has planned something completely else. Confusing, isn't it? Let me give you an example on this as well. Imagine an evil knight wants to steal the magical crystal. Why would he do that? Well, the heroes figure out that he wants to use the magical powers to summon the fairy goddess to grant him the immortality. And everything indicates that they are right. And when it finally comes to this and the heroes fail to prevent the bad guy from taking the crystal, they find out it's not immortality he's after. Instead he captures the fairy goddess and wants to use her powers to create an army of powerful monsters. The villain figured out that immortality won't help him much in destroying the kingdom. Well, that was unexpected, wasn't it?
9. Views
Why is somebody seen as evil? Maybe his actions seem to be evil, but are they supposed to be evil? Is the villain even a bad guy? What if he only killed the king to prevent a war with another kingdom where thousands would have died? Good and evil are mere points of views. This pretty much brings us back to point 1. There is no absolute evil and absolute good. Good and evil have always been relative. Sure, you can make something like absolute evil trying to consume everything part of your story, but do you really need it? Wouldn't an insane villain suffice who raped and killed his own sister and is now trying to revive her regardless if in the process everybody else has to die because he's irrationally in love with his own sister? Think about it. Which of the last two "villains" was more shocking?
10. Love him or hate him
You either love a villain or you're disgusted by him. Either he's a clever, charming and simply awesome guy you actually wish to play with or he's a completely twisted, mindf***ed and heartless bastard who repels you with his every single cell (like the second example in point 9). Everything in between you don't care about. A villain has to cause certain emotions to a hero. And the player has to identify himself with the hero. If you manage that, you have a great game feel. Of course creating the proper villain to cause the emotions in the hero and link the hero to the player isn't an easy task.
You think I'm talking black and white here? No. This is exactly the opposite. It's a manifestation of emotion towards something that isn't black or white because black and white are boring and can't cause any emotion (assuming boredom can be counted absence of emotion) because you just don't care.