Nobody hides under their blankets when they see Snidely Whiplash, or Jesse and James. Here are a few tips on how to make an effective villain that makes your readers sleep with a nightlight.
1. Give them an unusual, unsympathetic reason to hurt or kill.
If Lord Skulsanstuf kills for revenge, because of bigotry, or to prove how cool he is, he's not as powerful. Readers hear about people in real life killing for those reasons all the time.
Instead, make him kill because he wants beautiful people never to have the experience of growing old and ugly. Make his kill because he thinks the only way to stay pure is to drink a glass of blood every morning. Then do a chapter from his perspective and show how delighted he is with his way of thinking. Instant chills.
2. Allow them to kill fully developed characters.
Nobody cares that Lady Lotsoblood burned an entire village to the ground and tortured all the children to death if nobody in that village is important enough in your story to have a name. Look at all your characters and figure out which ones are the most expendable. Then let Lotsoblood work her magic.
3. Go into detail about the strange deeds they commit.
I would never want to be stabbed, but I especially don't want a knife to run down the side of my cheek, lifting parts of my skin so my assailant can brutally rip them off later. That sounds a lot worse because I can imagine it better in my head.
4. Don't bog them down with too many evil traits.
A vivisector who kicks puppies and burns down buildings in his spare time is silly, not scary. Good, nice traits can drive in the fact that your villain is human and therefore anybody could turn into them, which is a scary thought.
5. Don't make them annoying.
Professor Umbridge hits almost every point on this list, but she's too annoying to be truly scary.
6. Give them control of every situation.
Until the very final battle, the villain should know more about what's going on than the heroes. The heroes should have a hard time keeping a secret no matter what measures they put in place.