>>32017115Good villains come in a variety of "molds." There's what we've had mentioned already, and like Vryheid said, villains we can empathize with are rather effective: like Ozymandias.
Building villains as a convincing threat is usually a matter of raising the stakes appropriately. Not everything needs to be world ending, it could simply be "world" ending; which is to say it could ruin the world that the protagonist exists in. Perhaps their world is made up of their family, or their friends - a villain that threatens these things threatens their "world" so to speak and as more and more of what is near and dear to them is threatened, the stakes begin to feel higher and higher for the reader (provided that you've written a protagonist you can empathize with.)
You can scale the stakes as much as you want, but as you do so you have to change the way your villain functions, you have to change what makes them tick, and you also have to change your protagonist to want to undertake such a tremendous task. The question far exceeds a single post though, and I'm not quite in the state of mind to write out several posts, so I'll leave it at that.
On a completely unrelated note, Errant's Hearth Chapter 3 is out:
http://archiveofourown.org/works/7991302https://www.fanfiction.net/s/12140893/3/The-Errant-s-Hearth 