Make your villain parallel to or contrast with your hero. A compelling villain usually acts as a foil for the hero. This means that he should either be a twisted version of the hero or the opposite of the hero. For example, a by-the-book, defender-of-justice hero could face a corrupt cop, a vigilante who takes matters into his own hands or an out and out barbaric enemy of justice.
Pick a villain archetype. Is your villain a brutal sadist, a mad scientist, an evil genius, or a twisted would-be hero? Is he driven by lust for profit or power, hatred of the hero, loyalty to some evil philosophy, person, or cause, or some kind of insanity?
Give your villain a good back story. There is a tendency many writers have to make one-dimensional stock evil characters. Knowing where your villain is coming from will help to defeat this tendency.
Describe your villain's appearance. Some villains are masters of disguise, while others can not be missed in a crowd.
Decide whether or not to give your villain henchman. Evil henchmen can be an interesting addition to a story because the hero might not be aware of their existence. Then again, there is something interesting about a solitary villain singlehandedly blazing a trail of destruction.
Consider redeeming your villain. Some villains come to see the error of their ways. Others have a brush with redemption, but ultimately chose to stick with what they know. Still others are just straightforward, true blue bad guys.
Decide what abilities your villain has and what strategies he uses. Some villains create a cat-and-mouse like game where they toy with the protagonist, playing by elaborate rules of their own making. Others just smash stuff with whatever lies close at hand. Is your villain brainy or brawny, and what methods does he use to accomplish his goals?
Give your villain a weakness. Hubris is a common one for villains, but there are plenty of others. Some are so cruel they alienate their allies. Others are so deranged that they occasionally do exceedingly stupid things. Still others are vain and easily flattered. Whatever the fatal flaw, it should play a part in your villain's undoing, or at least threaten to ruin him at one point.