Read past fictional works with memorable villains. These stories can help you find the inspiration to create your own villain. Start with Conrad's "Heart of Darkness" and Harris's "Silence of the Lambs."
Develop your hero first. Use the hero's qualities to decide on how your villain is going to compare against him. You want to strive to make your villain the antithesis of your hero.
Make your villain three dimensional. Give the villain a back story or tell a part of the story from his point of view. You want the reader to get a clear picture of the villain and his evil nature.
Consider his motive. Fiction readers are not going to believe a villain who has no clear motives for his action. His motive can be something from his past or a conflict that arose between him and the hero.
Write the villain based around his possible psychological profile. For example, if you want to make him a sociopath, give him characteristics that fit in with this depiction.