How do you make a worthwhile villain?

Marlowe

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I have always wondered this. When I make a villain, they come out as brats that want power. Is there any other way I can make a good villain?
 
Personally, when making villainous characters, I try to give them motives that actually make sense; simply going after power isn't inherently unrealistic. This is an example, but making a villainous character that leads his or her nation using an iron fist for the so called 'Greater Good' makes me see the character as a living and breathing entity with a goal that I can at least objectively relate to on *some* level. Give the character a legitimate reason for what they're doing.
 
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This is a very complicated question. The first thing you have to ask yourself; what is the purpose of this villain to your story? Are they the driving force for your protagonist? Are they a looming threat? Are they supposed to make the protagonists question their choices? etc.

To use the Harry Potter series as an example, let's compare Voldemort and Delores Umbridge. Voldemort was more akin what Sauron made popular; using the unknown as a threatening factor. This is exactly why his acts happen off-screen. This is also why they explicitly separate Tom Riddle from Voldemort as a character. You can relate to one, but not so much to the other. Delores Umbridge might be a total bitch, but her presence isn't nearly as threatening as Voldemort's. Also she kinda was a bitch for the sake of being a bitch. In spite of being less hated, Voldemort fulfilled his role as a villain by providing threat, provoking fear. Whereas Umbridge evoked a completely different emotion in the reader; hate and anger.

If you ask yourself these kinds of questions, you'll get a better idea of what you want. Then you can start creating a character to fulfil such a role and branch out from the archetype however much is appropriate.
 
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Kestrel gave you a solid start. Different kinds of villains will work best for different purposes. You wouldn't make the big bad evil guy end boss the same kind of villain as a side guy who might be the primary antagonist for the very first story arc.

Aside from that, a lot depends on what kind of world you're making a villain for, with particular emphasis on the kind of morality the world and story aim to present. If you're rolling with a straight up black and white morality then you'd be best served with a villain that's pure evil. If you're going for a full spectrum of morality rather than black and white, then you can get into more ambiguously evil bad guys. Going for full on shades of grey morality means you'll probably want a sympathetic and/or easy to relate to villain, the kind of guys you might actually root for or not see as a bad guy if they didn't happen to be on the side opposing the protagonist. Lord of the Rings has good examples of all of these kinds of villains: Sauron is basically the Satan analog of Middle Earth, pure evil without a doubt; Saruman is sort of ambiguously evil because while he does horrible things he's doing it for a good cause (destroying Sauron), started off with a "the ends justify the means" kind of mindset and then got further corrupted; Gollum is kind of pitiful, a once normal guy who was twisted and corrupted by an evil artifact that he was no match for, so it's easy to sympathize with him and when he's helping Frodo you can really see him as one of the good guys for a while.

Another major component is motivation. You say you make villains who desire power. Okay, why do they want power? Desiring power for the sake of power is pretty much a cliche at this point. Most people who lust after power have an actual goal in mind, something that they need power to achieve. Does the villain want to rule the world? Do they want to destroy it, and if so what is their actual reason for wanting to destroy the world? Does he want to live in luxury? Is he a sadistic bastard who just wants to see people suffer? Does the villain have a goal in mind that is actually a good thing, but he uses evil means to work toward it? Does the villain perhaps have a loved one who is deathly ill and they're trying to get power to achieve the means of healing that person? Having some kind of motivation other than "IT'S CUZ I'M EVIL!!!" and "I JUST WANT POWER!!!" is a great way to make villains not lame.

And then there's the personality. Villains don't have to be pure evil, or scumbags, or assholes, or whatever. The only time your villain should have no redeeming qualities is when it's a straight up black and white morality world and plot. If your world has shades of grey in it, then your villains should too. Take a look at real people who are considered horrible villains for a great example: Adolf Hitler was very polite and charming in social situations and he loved dogs. Just because people do bad things or have bad intentions doesn't mean the entirety of their personality should be evil (unless it's black and white morality, because duh). One dimensional characters are boring, so don't make your villains one dimensional.
 
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Jorick and kestrel have already covered a lot of what my opinons are on the matter.

I will say this however, if you want to make a genuine evil villain, a straight up bastard and someone who is doing it for kicks. Then you have bust out some serious personality for the guy, and make him distinguishable by the way he carry himself. The prime example of this is Joker who is a "agent of chaos." A agent of chaos is a character who wants nothing more to torment and upset the established present structure. Their actual motivations tend to vary but in these cases they become less important as it boils down to HOW they do it. The Joker would have a unclear background, but he was still a great villain in that he reflected Batmans violent, obsessive crusade for order with his own psychotic obsession and narcissistic pursuit of laughs. He is the counterweight to the established order (Batman, the more sane and reasonable crime bosses). Joker keeps you interested by neat tricks like reinventing himself, finding new ways to get into others heads and overall being a force of his own. Joker is playing of the role of a out control force of chaos that you cannot trust for a second and yet much like Hannibal have a bit of that has a sharp intellect that allows him to get the upper hand on so many people.

These characters are tricky, as you need to make them into some malevolent bastards if you want to keep people from just latching onto them as the cool guy. These charachters work best when they are in clear defiance with what the 'good guys' hope to achieve, and especially when they are a force onto themselves that disregard other, more reasonable evils. If what they are composed of is murder, then they should be a embodiment of "oh shit, pls no". They need to be felt like a force of nature that just does its thing.

Needless to say, over exposure to these kind of baddies makes the character lose his edge.
 
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Realistically people don't do evil things because they've got no morals, that may play a part, but you want someone who isnt doing evil just for power or for the purpose of being evil.

Like the main villain in my current roll to dodge is actually an alchemist that's trying to create an army, he's trying to make an army to get revenge because his sister was an adventurer that got killed by the Royal guard, his sister got killed because she refused to switch kingdoms.

Basically cause and effect, people aren't born evil, they're made evil in most cases.