I've seen lots of evil lords and the like in LARPs and tabletop roleplay over the years, and I have since realized that most of them are villains because we put "villain" in their name.
The standard example is the necromancer who is evil because he raises the dead, although the player characters have killed countless more people (for reasons of racism and whatnot) than the supposed bad guy. Those bad guys are all you need in a strategic roleplaying game that is half miniature battle and half roleplaying session.
To truly impress on the theatrical level, you need someone ignominous, or someone whose methods and cleverness will awe the players/actors. In general, do not count on fiction for providing such villains; read real history, or heavy social criticism through fiction. Bad people are far worse in reality than in fiction.
In a political game, a real bad guy could be Stalin-like. The man is responsible for the deaths of more people than you will ever get to meet. You just need to read Animal Farm by George Orwell to portray a similar villain convincingly. Catherine de Médicis is a great example of a noblewoman who is ready to sacrifice most everything to remain on the throne (or to keep her sons there). A massacre of thousands was one of those things. The legend of Elizabeth Bathory makes for a great evil also (torture and killings followed by blood baths), or you could make a big bad evil guy who makes those crimes and frames than apparent serial killer.
In a supernatural setting, where the threat is supernatural by nature, the process to create a dangerous villain is a less difficult, and requires less reading. Once you know which player/actor characters you want to aim at, simply figure out the 4 following elements, at least 2 of which will come directly from the villain's supernatural template:
1- One thing that is the strength of the target characters
2- One thing that the target characters hold dear
3- One thing that the players or actors themselves hold dear
4- Something that sort of freaks out the players or actors themselves (without ever going into traumas)
Now, create a villain that should have the upper hand in the target characters' strength, who will turn against something that the characters hold dear, but also what the palyers hold dear, and have some aspect that will freak out your players a bit.
Make that villain of a level of competence that will seriously challenge the players, but that the players will probably going to be able to beat in the end after a few serious setbacks.
Voilà, you have your villain.
Lex Luthor gave the best description of a great villain in the movei Superman Returns. He said "Billions [will die]! Once again the media fails to see the bigger picture!"
Don't make your villains insignificant. Make them so that the actors will squirm at the first mention of his name!
