In order to understand villainy, it helps to know something about the general character types that serve as villains in fiction. This topic is very fascinating to me because it provides some insight into the types of traits that many people might consider evil, and by examining this, we are able to learn a little more about ourselves (this applies to everyone, regardless of whether they consider themselves villains or not).
One of the most common types of villains is the powerful/respectable villain. These characters are often wealthy, influential, and confident. Corrupt politicians, ruthless businessmen and other socially prominent bad guys can easily be seen as a threat to the status quo. Many times these character's "evil schemes" involve grand ambitions, such as making a grab for power or embarking on a project which will be financially lucrative to them, but detrimental to lots of other people. Often these characters will display a sort of "Jekyll and Hyde" mentality, being seen as socially respectable most of the time, but then conducting their sinister work in relative secrecy (interesting historical note: it is believed that the characters of Dr. Jekyll and Mr. Hyde are based on a real person named Deacon Brodie, who was an upstanding member of Scottish society by day, and a ruthless criminal by night). This type of character plays off of the fears many people have about powerful and potentially deceitful members of society.
Despite the fact that the sort of people that these characters are based on could present a real threat to much of the population; they do not usually inspire as much fear as "scary" horror movie villains do. This is very interesting, considering the fact that your average Joe is much more likely to be adversely affected by a corrupt politician, or greedy CEO, than a mass murderer or supernatural entity. The reason for this illogical perception is that whatever is seen as being more alien or unfamiliar is typically considered scarier. Because this type of villain is such a presence in the real world and most people can, to a certain extent, sympathize with this character; the powerful/respectable villain is seen as being more sleazy than scary. This kind of villain is also known for making speeches where he will unveil his grand scheme and plans for the future. This has become an evil villain cliché (despite this, as a villain, I still think it's very cool). It is generally thought that these types of evil rants are plot devices, designed to let the audience in on what's happening. This is probably the case; however, I believe that there is another social message here. These speeches are of a very egotistical nature. They're self congratulating, prideful monologues that are riddled with the basic principles of ambition, greed, selfishness and personal vision. It's as though the writers of this kind of scene and dialogue are saying "if you don't want to be a bad guy, then don't think this way and don't possess these kinds of traits" (or perhaps they're saying just the opposite!).
I don't believe you can discuss villain character types without including classic Bond villains, from the 007 movies. These characters are often included in the "super villain" category, but are distinctly separate from comic book type super villains. I once heard a person point out that, as a hero, James Bond is somewhat morally reprehensible himself. This is true, but one observation I'd like to make is that Bond's acts of immorality tend to be more on par with the sins of the common man. Unlike Bond, the villains in these movies don't usually focus so much on things like sex, drinking, gambling etc. While some of them do participate in these sorts of activities, they don't usually flaunt it the way that Bond does. Their focus is on "big evil", as opposed to these more mundane activities (global domination, shaken not stirred). This dynamic of petty, average guy sins, versus over the top, grand villain evil, is a theme in many action movies. I would say that this is deliberately designed to dehumanize the villains (not that that's necessarily a bad thing from a villain's perspective) by making their behavior less consistent with that of the movie going public's.
Another interesting comparison is how Bond dispatches his enemies, versus how his evil competition does it. You'll notice that in the classic James Bond films, 007 will usually only kill an enemy in obvious self defense, spur of the moment situations, whereas the villains often put more thought into how they're going to kill Bond. As Mike Myers satirically pointed out in Austin Powers, villains often like to utilize exotic and needlessly complicated forms of execution. It will be argued that this is merely the filmmaker's way of creating suspense and making things more interesting. However, this also offers us some insight into the temperament of the villain. Whereas 007 only kills when he "has to" and in the most brief and straightforward way possible; implying a sense of hesitation and guilt, the villains seem to have no such reservations. The fact that they put so much thought and creativity into the destruction of their enemy indicates that they're willing to embrace this task wholeheartedly. The villain does not see the execution of is foe as an unfortunate necessity, but as a source of enjoyment. He gets artistic with it!
You see this same basic attitude with comic book type super villains. Although there's usually some excuse (such as psychological derangement) for why comic book super villains dress in dark, gaudy costumes as well as feel the need to get a little too creative and often "theme" their crimes; it can't be denied that they often seem to want to have fun while they're being bad. This is in contrast to the more mundane criminals that super heroes sometimes have to deal with (and who occasionally become super villains, due to some accident, or other uncanny series of events). It's as though being an average criminal would be too easy for a super villain, so they must make things more interesting for themselves. This kind of makes sense, in a way. I mean, if you were a super powered villain, who could completely annihilate all mainstream law enforcement you come across with minimal effort, would you really be content to limit your actions to the realm of functionality?