I think the best kind of villain is one who can actually succeed. We have all seen TV shows where the bad guy either doesn't get close to his goal or has it within his grasp when the hero defeats them. If they have the skills and intelligence to come out on top, that makes them all the more terrifying. Bonus points if they can manipulate the good guys into completing his goals for him. Generally it's best if they can stay around as the main antagonist for some time, without using the, "What? He escaped form prison yet again?!?" routine.
A fine example would be the Sith from the Clone Wars portion of the Star Wars universe. They manipulated the Jedi, Senate, and Trade Federation to achieve their goals and ended up the victors, controlling the Galaxy. All while still having epic battles and grand betrayal.