The scale of the setting is very relevant when constructing your villain. If you're basing it on an entire world, the villain might be from the neighboring nation, working to advance it's goals. Or if you're running an rebellion, the villain might be an occupier. If you're using just a single country, it might be an overly ambitious noble.

It might make it interesting if the PCs and/or the players aren't sure at the start who the villain is. Making one or both of those struggle to identify the opposition can make for a good story. 

Outside comedic mockeries, few villains see themselves as evil. If they do commit acts beyond what is culturally acceptable in their society, they'll always justify it somehow. Build your villain as you would a PC, just use a different set of morals.