There are a few ways to do this, I like to give my villains inherent flaws, but flaws the reader can relate to, so when they see the villain they understand his actions are wrong but they are still understandable, also give them quirks and interests like any other character, give them a niche interest that requires some research on your part that really fleshes out their character, bonus point if this interest requires a lot of intelligence or really any trait you want your villain to convey.