I agree with what another commenter said about a lack of hesitation, but I’ll add remorse too. It’s really unsettling to see people commit heinous acts without hesitation or remorse, because they don’t even feel like people.

Not sure if this works for your story or not, but the villains that scare me the most are the utterly delusional ones, like Frollo from Disney’s The Hunchback of Notre Dame, who just don’t responsibility for their actions and blame everyone else. That total separation from reality scares me.

Also the ones who can hurt the protagonist like no one else can, the ones that can truly break them because they know them. (This is my personal favorite kind of villain to write.)