Every setting with conflict has its Big Bads, either drawn from the game itself or from the wider culture. Star Wars has the Emperor and Darth Vader, D&D has Vecna (and his head), Vampire is close enough to the real world to borrow Count F---ing Dracula as well as having its own. What can the PCs do about them?
Well, that depends on the PCs. And the general tone of the game, and things like that. If you're using a canonical bad guy who is destined to be taken down by a canonical good guy, or an unstoppable god of evil or somesuch, getting away counts as a win and stopping his machinations could be a Crowning Moment Of Awesome. If you're using a villain who was designed to be taken down by a ragtag band of adventurers, the PCs' role in proceeding is fairly obvious.
But what makes a great villain?
There are lots of options. Antithesis of the PCs? Shadowy reflection of how they could be if pushed out of the light? (Batman has half a dozen of these.) Theme of the game and what the PCs oppose? Something generally scary not directly connected to them?
But above all, they have to be fun.
Part of the appeal of a setting is its monsters, and these are the top of the rogues' gallery. If I've got Daleks in this week's session of Doctor Who I put them in the "trailer" at the end of the previous session. The PCs might hate them, but the players get a big grin at a chance to take a pop at them.
Still, you can overuse them. Villain Decay is a grim sight to behold, where the fun of facing a nemesis goes out. The Daleks can suffer from this, and my example would be Judge Dredd archenemy Judge Death, who went from terrifying to irritating to troubled by bunnies, and after a back-to-basic miniseries has been gone for seven years as of this writing. At this point one final confrontation (with an optional "no-one could have survived that!" ending) might well be a good idea.
How to decide that? Inevitably, talk with your players. Do they love to hate the Big Bad, or actually hate him, or are they a bit meh to hate him?