While some villains exult in being bad (Joker in Batman), many don't think of themselves as evil at all. In their own minds they are right, the heroes of their own stories. A dark moment for the "hero" may be a bright one for the "Shadow". (See demonization or villains as heroes opposite: here.) The arcs of their stories are mirror images: When the hero is up, the villain is down. It depends on point of view.
By the time you are done writing a screenplay or novel, you should know your characters well enough that you can tell the story from the point of view of everyone: heroes, villains, sidekicks, lovers, allies, guardians, and lesser folk. Each is the hero of his own story (Thus, the reason for so many sequels and series.)
It's a good exercise to walk through the story at least once in the Shadow's skin. Or better yet, give your villain his/her own story. Make them your main character - the true hero of their own story. You can read my own version of this for FREE here: Broken Angel.
Who are some of your favorite villainous heroes?