To me, I want my villains to be threatening that it would intimidate the readers.
Backstories are cool but some can stay total ambiguous. You're not sure if this villain is giving you the truth because he seems to distort his past quite a bit and don't make much sense but that makes him a bit interesting and let the readers come up with their own interpretation.
My current villain, Monté, is threatening and a brute and you may never when he'll turn against you for any reason. He's quite the murderer that he crushes people's skulls by his bare hands. He rarely give out the failed ones a second chance and 9 out of 10 his henchmen might get killed by him. He lavishes in people fearing him.
Dr. Robotnik from Sonic the Hedgehog games is my all time favorite villain ever. He's the only villain, from the start from the franchise, has the balls to bring the fight to Sonic on almost every zone and not wait by the end of the game to face him and that's admirably evil.
Besides, Dr. Robotnik themes from every game the best songs and that adds more to his awesomeness. ALL HAIL ROBOTNIK!!!