Ok ok, the best way to build up a villain and make them threatening is to make the stakes personal to the main character. Y'know, have them threaten the MC's way of life or something important to them. Make sure the stakes aren't too high unless you're planning to follow through with it since the readers won't think it's a threat and will expect the villains to be defeated. Have the lengths of their villainy shown before hand, so the readers know they aren't bluffing and that they can actually pull it off when they threaten something personal to the MC.
Another thing you can do is have the villain shake an unshakable character, even just a little bit. Be careful though, since you can really only do this once or twice before it loses all meaning to the readers that this character has been shook.
A big mistake you can make is to not pay attention to how much of the villain's psychology you reveal to the readers. Not enough and the villain makes no sense, too much and they're too predictable. Give the readers enough to have a guess as to what they'll do next, but not so much that they can see their plans from a mile away. Part of the threat is wondering how much is too much for them to handle mentally.
If you want the readers to HATE the villain, have them threaten your audience's favorite character instead of the MC. The readers will certainly be scared of the villain then and want the MC to punch their face in, or whatever the MC does to beat enemies.
It's most important to try your best to make threat less about their power and more about their resolve to go through with things and what specifically they're threatening.
Sorry if this was too long, I wanted to be thorough