The Villain can be the most entertaining character in a book, but he's also one of the hardest to write (at least, for me).
I figure Villains fall into four categories: evil mastermind, misguided mastermind, evil henchman, and misguided henchman. Here's a few examples, taking from my own writing and a group book my book club is working on:
The EVIL MASTERMIND: This type of Villain is totally evil and enjoys every minute of it. He's the boss; he's generally smart, cruel to his underlings, and manipulative. If you don't do what he says, you'll be in a world of pain. (Concrete Example: Evil dark elf who has a special month for executing prisoners and likes cats.)
The MISGUIDED MASTERMIND: This Villain has a reason for doing horrible things, usually some sort of past pain that he's handling in a very wrong way. He generally turns good in the end, even if he dies shortly after doing so. (Concrete Example: I've never actually used one of these in my writing, but if you want a good example, look at Darth Vader in Star Wars.)
The EVIL HENCHMAN: These guys are fun. Generally, not as smart as their boss, but not dirt-stupid, either. This Villain is useful because henchmen can change masters from series to series - they're recyclable. Anyway, totally evil and kill people. Must die in the end. (Concrete Example: Do you really need one? You've seen them before, in every book and TV show ever.)
The MISGUIDED HENCHMAN: This Villain doesn't stay bad for long - he usually betrays the bad guys and joins (or at least helps out) the good guys, for one reason or another. Generally, only joined the bad guys a) under duress, or b) because they were tricked or urged on by the Evil Mastermind or the Evil Henchman. (Concrete Example: A soldier for the bad guys who joined because his brother's life was threatened, and joins the good guys because he falls in love with one of them.)