Villains provide conflict. Who are you going to root for if there's no antagonist? Those baddies move the story along, give it meat and bones, challenge the good guys and give them something to overcome. Where would Sherlock Holmes be without Professor Moriarty? Sitting at home shooting up cocaine.
I don't know about you, but I cheered like crazy when Hans Gruber fell to his death in Die Hard. Been in love with me some Alan Rickman ever since. And don't even get me started on Snape.
The villain in my current WIP is a bad old witch who's out to get my heroine because she stole her fairy juice. The witch wasn't always bad and, to me, that's what makes her interesting and fun to write.
What about you? Who are some of your favorite bad guys in movies and books? Randall Flagg from The Stand? Iago from Othello? How about Cruella De Vil from 101 Dalmatians? The woman was skinning puppies, for goodness sakes!