Villains are a special type of character, and often the most delicate to write. They tend to distrust people, especially their authors, with their secrets, which are often quite crucial to the understanding of the way they work. You have to make sure their evil doesn't corrupt you as you develop their characters.
To make matters worse, there are actually three types of villains. There is the true villain, the antagonizer, and the circumstances. The true villain is what most people think of when they say the word villain. He or she is evil through and through - like Sauron from the Lord of the Rings, or the White Witch from Narnia. What they do, they do on purpose. They are powergrabbing, stingy and selfish. The only thing you can do with them is kill them (or at least dump them in the nearest black hole.) Once in a while you can find out a secret about them that can turn them good in the end, but this is rare.
The second type is the antagonizer. This would be someone like Eustace from Narnia, or simply a bully at school, or an annoying younger brother. They are someone who stands in the way of the Hero's story, but they probably won't be too hard to get around. You don't have to conquer them, as they are usually redeemable, or, at least, they are not the main thrust of the book, merely a hurdle to jump over.
And then there's the circumstances. Circumstances are just that: circumstances. In Robinson Crusoe, sure, there's cannibals and pirates and such, but they are all merely a part of what Robinson has to overcome. The main thing he must fight is his circumstances. He must learn to tame the goats, milk them, build himself a shelter ... basically he has to learn to survive no matter what his circumstances throw at him. Sometimes the villain is the character themselves - a bad personality trait they must overcome, like lying or fear.
Some books have all three villains! For instance, take Julia's story that I told you about last week. In that, we can say that Mr. Fiery is the True Villain. He wants universe domination using those mysterious eggs. But, perhaps, Julia also has some bullies at school, or an older sister with whom she doesn't see quite eye to eye. Perhaps, also, Julia needs to overcome something in herself, such as her overactive imagination.
Of course, when it comes down to the villain, make sure you develop him. He or she is one of the most important parts of the book. If you don't have a well-developed villain, your story will fall flat. Make sure you know why your villain is evil, what he wants more than anything (beyond world domination) and his destroying secret.
Some people use their villain for comic relief - the bumbling villain appears to be getting quite popular. Now, while they may be okay for children's books, where you need to lighten the whole villain stuff anyways, in books for older people, they just don't cut it. There are a few cases where you can get away with it, but most older people want the Hero to succeed by the Hero's skill, rather than the Villain's lack thereof. Therefore, I shy away from the comic villain.
But make sure your character is able to overcome the villain realistically! Readers will roll their eyes if your villain is overcome by a freak power that the hero acquires not five seconds before the hero overcomes the villain. Also, they will be sorely disappointed if the villain wins. Yes, I know you want to be unexpected ... but don't do it like that, please! Be unexpected in how your hero prevails (by revealing your villain's secret, not by a new, freak power) not in having the villain prevail.
Now, that's all I have to say on this subject. If you have any requests for me to write on, please leave a comment. If I have enough of an opinion, I just might write on it!