Alright, maybe I should share my ideas for a second. I haven't actually tried to do this, but I might since I want to improve my writing (and my art). Of course that process of improvement will never end, but I am not yet at the level where I am, for lack of a better term, satisfied (as in ready to try stuff like writing comics I want to write, and do them well).
As mentioned before, it is important to make your that deeply flawed character human. An recent example I will pull is Jojo's Bizzare Adventure (Battle Tendancy specifically. Nothing wrong with the first part, a strong and solid foundation for the rest of the series). Stay with me here.
The Pillar Men are one of the villains of the series. Stay with me here. Their main objective is to become immune to the sun and basically become immortal gods. However, through actions like stopping a car from running over a dog (in the most over the top way possible), seeking revenge for their friend, and stuff I refuse to spoil for others....they become more believable than those mustache-twirling villains from saturday-morning cartoons. They aren't really sympathetic and there aren't really any character arcs to make them better people, but little moments like that do matter. They aren't sympathetic, but they are more interesting because of it.
Along with everyone else's advice, I just think its important that (especially if its a main character) they have redeeming qualities. Whether you want to give some to your villain or other characters is entirely up to you but your main characters absolutely must have some redeeming qualities. Even if they are a jerk. The story is about them after all. And we need some kind of reason to get behind them.
Also, this is a bit unrelated but having some little touches do matter. This video explains it better than I really could so here you go.
In my opinion, this also applies to basically any character. Its just kind of important to put these things onto villains as well.