I've always found the best villains to be relatively normal people who are doing "evil" things for what they perceive to be a good reason.
For example, they are the ones willing to do "whatever it takes" to gain power for some reason they feel justifies it.
Bad villains are the ones who are evil just to be evil, or "the big bad" of the story.
Yeah, there are several times I have read or watched a story where the villains only major issue is that they take a 'the ends justify the means approach'. Everyone has a justification for their actions, no matter how bad they are. Very few people do some horrible act going "this will be fun!" instead its usually "by doing this action I will get this to happen, and I need that response"
There are some good villains who are evil for evils sake though. The joker is a well known example of someone who does bad things just because he can and still has an interesting character. I've heard the antagonist from the anime Monster is also a really interesting villain. It really depends on how you write them I suppose.