There's plenty of ways of get across that your villain is a true threat: by their actions, by their scope, by their contrast to the main hero/s, even if they ARE the hero. It really depends on the story you're trying to tell with the villain in question. You see, I personally like to use a sliding scale of villainy: for these purposes, we're going right ahead and ignoring the Tier 0-2 (which is ineffective comedic villains, Rival or friendly opposition characters who only count as antagonists in that they're actively stopping the protagonist/s from achieving their goal, and finally self-defeating idiot villains). Tier 3 is along the "equal/opposite to the hero" line (for an added bonus, you can add in something about them being a former hero themselves, but that's pretty stock). Tier 4 is the fun one: the hero THEMSELVES become the bad guy; not a villain protagonist, at least not at first, but seeing your hero driven darker and darker, going to further and further extremes can be much more interesting to see; this can sometimes overlap with Villain Protagonists, though it can bleed through into other tiers depending on their actions. Tier 5, 6, and 7 are the most commonly used (before you just breach the Moral Event Horizon). 5 is the "I'm Only Doing What's Right for EVERYONE" villains who try to argue that "Might Makes Right" and the "Ends Justify the Means" all that. Tier 6: the tyrants and dictators, who don't even try to hide behind the whole "I'm only doing what's best" facade and just want to oppress, enslave, and rule with absolute, unchecked power and crush any who stand in their way. Tier 7 is about as close as it gets before you can bounce back, and these appear quite often and can be quite ruthless in the right hands, and that's the Scorned villains: those who were rejected, exiled, cast aside, mistreated (either by a single important person, by their family, society), and they want vengeance. Now, ordinarily, this is either revenge on the important person who got them exiled or had the biggest impact to their turn on villainy, or maybe even extending to a full-blown nihilism and wanting outright omnicide to the entire human race (or whatever the dominant species of choice would be, depending on the setting). Tiers 8-10 are where things can really grizzly, but they can all be summarized pretty quickly cuz it gets a lot harder to justify or understand a character's motives once they crossed the point of no return into outright irredeemable. Tier 8 is God Complex types, who want absolute power (or, at least control of an absolute power) and will stop at nothing to seize control; this often mixes with Tier 6 or 7, but it's a completely different Tier here because of the level of power or how close they could potentially come to achieving that goal. Tier 9 is outright anarchists who just want to watch the world burn, kill people for sport, boredom, or even fun and can either be demented or outright sadistic, but more often than not sociopathic. Tier 10 is obviously just a straight-up, complete and total monster who's human in name only--if you can even go that far. Technically, Tier 10 could just be any of these cranked up to 1000 but this one relies on finding the proper way to take a character to these extremes without making it cartoonish; I mean, after all, even Satan himself (or some equivalent to him...or even her) has been depicted a few times as having a few deeper layers of character than just pure evil. Obviously, there are other character traits that can apply to most of these, but here's the best kind of story to tell, and I know this is going to sound crazy: having a radically overpowered villain. Let me explain. There's three ways that a villain's defeat is at its most satisfying: a) when they're defeated by their own hubris, b) when the heroes make a great sacrifice, or even a self-sacrifice, and, though this one is probably the easiest to utterly ruin if not handled correctly, c) sheer luck. For that last one, I know that it sounds like your heroes kinda just stumble into it but that's not what I'm saying here. I'm saying the odds are so stacked against them, and yet they manage to barely put out a win at the tension's highest moment just by absolute faith. Even if that doesn't work, a straight-up bad ending is always an interesting thing to see, especially when viewed from the direct contrast of a good ending (though I find this rarely, if ever, seems to pan out quite as well the other way around since it always just comes off as pure wish fulfilment).
