((SPOILERS FOR DEUS EX: HUMAN REVOLUTION))
I've though for a long while about this, and (at least in my case), a great villain is someone who makes the reader or viewer question ourselves on what we think of as right and wrong. A good example is Hugh Darrow from Deus Ex: Human Revolution; as the creator of human augmentation, he hears and deals with what he has created. These augmentations allow the disabled to walk, cure illnesses, and generally allow the human body to do more that it ever could alone, but this also leads to the conflict we see in the game; people using these enhancements as tools of destruction and war. After years of civil strife, government intervention, and advancements, Darrow decides to destroy his creation by creating a kill switch that drives augmented people insane and attack anyone in sight, showing the true danger of tampering with human biology. Of course this is a horrible action to take, but the principles that guided Darrow to do this aren't ones of someone who wants the world to burn, on the contrary, he wants humanity to survive, but he believes that the world needs to give up augmentation as it grants too many people the power to become warriors. It is here that we, as the player, are given the choice, do we try to convince humanity to give up augmentation, or allow them to continue? This is what I love about these kinds of antagonists, it makes us wonder what is really the right thing to do? On one hand we have the ability to make humanity better than it is, a goal that our species continues to drive towards, but on the other, this kind of advancement has gigantic ramifications as we see in-game. Terrorists organizations, near segregation between those who are natural and the "Augs," and corporate corruption on an unthinkable scale, is humanity really ready for this?
TL:DR, In my opinion, a truly great villain forces us, or at least, sets the stage for us to question what we've been conditioned to think is good and bad