Villains don't see themselves as bad guys. Or at least, the really good villains don't. They are the heroes of their own stories, struggling to achieve something and being blocked by the characters the audience is usually rooting for.
I find it interesting that DreamWorks has been focusing many of their stories on characters who would traditionally be the villains: Shrek, Despicable Me and Mastermind all humanized their protagonists despite their "evil" leanings. It's not just for kids either. Joss Whedon may have played Dr. Horrible for laughs, but he is still a classic villain who sees more than the self-absorbed hero.
A well-defined villain is necessary to balance a well-rounded hero. Just as the hero needs to have some flaws for the audience to relate to, so the villain needs to have some redeeming features. I've frankly always had trouble with one-dimensional "Look at me, I'm EVIL!" villains. I much prefer a villain who honestly believes their course is the right one and their end justifies their means. My favourite examples are Grand Admiral Thrawn in Timothy Zahn's Star Wars Heir to the Empire trilogy, the Operative in Joss Whedon's Serenity and a new addition, Vincent D'Onofrio's portrayal of the Kingpin in Daredevil (the link has spoilers for all those who haven't seen the show yet).
For those who haven't read it, Heir to the Empire is set about 5 years after Return of the Jedi. The galaxy is still effectively split between the remnants of the Empire and the fledgling new Republic. Grand Admiral Thrawn wants to restore the Empire. He believes that democracy is not a viable tool for ruling an intergalactic multiverse with thousands of interacting alien species. He believes a central authority is the only way to effectively manage the galaxy. He is intelligent, insightful and a tactical genius, which makes him an absolutely terrifying enemy for Luke, Leia and Han. He is also utterly ruthless in his pursuit of victory. He doesn't care whether a win comes from a pitched battle, an assassin's knife or a spy's rumours. He's been given a task and he intends to accomplish it, no matter what.
The Operative is another example of someone whose faith in the goal permits them to step outside anyone's concept of acceptable methods. He delivers death for failure and employs scorched earth methods to find his quarry. He does it all for a "better world", one which he knows he can never be a part of. He acknowledges that he is a monster and is willing to sacrifice himself to create it.
The new Kingpin is a combination of all my favourite villainous traits: smart, well-read, capable of hiding his ruthless and dangerous side and utterly committed to goals which the audience can find sympathy with. I won't go into more details because I don't want to spoil anything for those who haven't seen the show but the combination of the writing and acting have gelled into a bit of small screen magic.
It's only a small sliver which separates these men from the heroes facing them. Not to put too fine a point on it, but the Rebels overthrew the Empire in a bloody coup, not a democratic election. River Tam (the Operative's quarry) is a living weapon capable of taking down almost anyone with eerie simplicity. Daredevil is not known for offering his opponents counselling and rehabilitation. Both the good and the bad guys do things which would have to be objectively looked at as "bad" by an outsider.
I like a villain who accepts his or her place as the bad guy. They are not in conflict (as the hero and heroines often are). Perhaps that is the final difference in the end: the struggle to stay in the grey defines who becomes a hero and who becomes a villain. Abandoning the struggle allows the villain clarity of focus and confidence. They're not spending time angstily worrying about whether they've gone too far and feeling bad about themselves. Instead, they put all of that aside to focus on what they need to do and then go after it with terrifying precision.
Get ready to meet Andre Dalhard, my villain, in tomorrow's quote card.
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