Without a bad guy, heros are merely decorative. They need opposition, an antithesis. Whether your villain is a mad scientist, a paranoid psychotic, a towering control freak, or merely the other woman (or man) in the protagonist's life, he needs to be something more than a prop that hinders the hero's progress.
Your job -- your challenge -- is to create a villain your readers will understand and perhaps unwillingly sympathize with. His (or her) purpose in life should not simply be to act as evilly as possible, but to achieve a goal of their own.
Scheme. Yup, go ahead and do it. Hole your villain up in his secret hide-out, cackling and merrily plotting the demise of the Hero du Jour. Display the wonder of brain versus brawn, virtue versus deceit. But don't forget to act! To be a successful villain, your character must leave the virtual safety of his tower and DO something. Until he's up to his elbows in diabolical activities, he's just a noisy nuisance.
Small victories can be huge. No villain can be a villian without some proof that they are a threat. It is painful to have your hero seem to be unable to handle his nemesis, but it is crucial to making your villain believable. The most important thing is to avoid is having your villain and his henchmen defeated despite overwhelming odds in their favor, so keep in mind that your bad guy and his (or her) henchmen should be a valid threat to your hero's safety, and more importantly must not ever be seen to be a group of nimrods led by a complete incompetent.
Give the guy some character. Who wants to fight paper-doll adversaries? Where's the challenge in that? When it comes down to it, your villain is human (or humanoid...) and humans have flaws, be they good or bad. Swirling capes and dastardly looks work best in comic books or cartoons. If you want your bad guy to be believable, make him out of flesh and blood. The more unrealistic the villain is, the less meaningful the hero's eventual victory. Your villain needs to be a worthy opponent. Put as much thought into his creation as you did in creating your hero. Give him strengths as well as weaknesses. Why does the villain do what he does, and why does he think that his deeds are justified?
Evil is as evil does. Seriously, how many villains actually believe they're villainous? Whatever the scenario, the villain is firmly convinced of his own righteousness. His actions are rational and -- in his own mind -- justified. There is a reason he acts the way he does. Letting your reader in on the way he thinks and feels intensifies your story and heightens the emotional impact. Giving him the honest ability to win confrontations with the hero strengthens both characters.
Lastly. Guess what? The villain doesn't have to die in the end! They may not even be doomed. Some of those that have lived long, long lives are just as interesting and appealing as the heroes are. Remember, "He who fights and runs away, lives to fight another day!"