A story is as great as its villain. Think about whatever movie, story, novel, comic or whatever else. The villain is the character that we remember best. Remember how Lecter said in the end "I'm having an old friend for dinner"? We don't remember Clarice's answer, although she's our protagonist, although she's the one who saved the day. Remember how Norman Bates took the car to the swamp? How we hoped that it will drown there? Although he's the bad guy?
Remember how the Joker told Batman that they are destined for each other, that each one completes the other?
A story is as great as its villain, and if you'll create a great memorable villain, the story will be much better. And when the villain falls? The sweet scent of victory will be even stronger.
So, how do we create a memorable one? There's no single right answer, but movies and stories can help us a lot. If we'll look at the Joker and at Lecter, none of them did what was expected from them. They were totally unexpected. Our first sight of Lecter, after we heard how bad he was, was of him standing there and just looking. When we first saw the Joker, he completed a mission in which each person killed one of the participating persons to lower the share. Then he killed the last, saying how he received his scars.
Another great thing we can see from them is humour. Lecter is an ironic human being, and his famous "I'm having an old friend for dinner", said by a cannibal made this line so much better. The Joker uses jokes all the time.
Another thing, this time from Psycho, is the innocent look of Norman. He just looks harmless, like a little boy, and it works. We don't suspect him; we're not prepared to the big reveal.
Always remember, the villain can't be all bad or it won't be sympathetic, and then it won't be any difference from the other monsters. He has to be cool, he has to be evil, and most of all, he must do everything with style.