I often find asking what a character wants really helps me understand why they do what they do. Giving your villains a goal helps make them characters rather than caricatures. Though to be honest I tend to like antagonists that aren't so much villains as simply characters who want something incompatible with what the protagonist wants.
And when they are villains I like them to be intelligent.
Re: A writing excersize that may help you
I often find asking what a character wants really helps me understand why they do what they do. Giving your villains a goal helps make them characters rather than caricatures. Though to be honest I tend to like antagonists that aren't so much villains as simply characters who want something incompatible with what the protagonist wants.
And when they are villains I like them to be intelligent.