I think a really good villain (like a few others here) needs to simply believe what they are doing is right, in their mind they're not evil or doing something wrong, to them, you're the evil one for trying to stop them doing their "good deed" for everyone, with this level of belief comes followers, the private army you have to fight your way through to get to the big bad guy at the end, probably only to find its a guy with a upper class English accent, not British, could you imagine a final boss with a Welsh valleys accent, he'd probably lose all credibility (not making fun of the accent just making a point), but i digest. A good villain you have to want to fight at the end, no point getting to the final boss thinking "do I really want to fight him? Will it make a difference?" (To the pixelated world in question). But in saying that he needs to have a aspect of fear about him, which your character needs to overcome, so not a big weapon or a incredibly destructive spell that takes 5 turns to charge up, they don't count.
I feel like I'm meandering around the point here, right, a good villain needs to be smart, believe what they're doing and be able to convince people to follow them. I don't normally play games with "good" or "bad" guys I'm a RTS player, but from that, one name does stand out, Kane for C&C