I look on the bad guy as a fun option to play as. You're entire goal is to contrast with the 'heroes' in such a way as to scare them. You give a vibe that's hard to put on a name on, but everyone can tell it's just different. 

I like doing it alot, as it gives me a chance to push the heroes, and get some development. It also establishes 'what' are they fighting against, the ideals of the villain define what they are opposed to. 

The  villain of course has many different shades if he's a good villain. It's got to be a complex problem the heroes face, or anyone could solve it. Head of that problem must be a complex character, who makes the heroes ask questions.