What makes a good bad guy

I'm working on a new book and trying to build my bad guy. The trouble is, he's not that bad. I think the problem is the setting is the real world, but with strong supernatural undercurrents but the villain's just a bit...blah. He wants to conquer the world. Why? What's he going to do with it? Name all the countries after himself? Become richer?
There's the James Bond villian syndrome, where they're evil just for evil's sake. That's just lazy storytelling. The key to creating a great bad guy is making him the hero, in his own way. He wants to bring order to the galaxy. He's conflicted. The better angels of his nature don't win out, hardly ever. He wants to be better, but then he takes the easy way. He believes the ends justify the means. A little evil for the greater good, that sort of thing. He can stop, whenever he wants, honest. But there's just one last thing he needs to do, one last job, one last big win. Let's have a look at some villains, big, small, real and unreal.
1. Hitler. Well, he would be at the top of the list, wouldn't he? But what did he want? A utopia for the Aryan people. Great if you're Aryan, I suppose. Pol Pot would fall into this category. They wanted to build a better world. That means getting rid of the undesirables. It meant the gas chambers or the killing fields, but they got people to believe in their dream. Somehow, however briefly, their vision makes some sort of sense. We could be great. It's just we're held back by (insert racial group of your choice). They're not true humans anyway, they don't deserve what they've been given (which they no doubt stole off the backs of us honest folk). They're taken our jobs and speak/smell/look funny. Get rid of them and everything will be beautiful.
2. Hannibal Lecter. Interesting, the guy eats people but he's cultured, intelligent and wise. He's like some vengeful god, seemingly omniscent, certainly smarter than anyone else in the room and above morality. That's for the petty people. What is it that he worked out that we're too stupid to see? What does he know and understand that makes cannibalism seem the right choice? He's made his own rules, and it seems he's winning. Add the Joker to this. He's seen the madness of what the world really is and has responded in kind. There's too many contradictions in our existence, what alternative is there to going mad? Surely that's the only sane thing to do.
3. Darth Vader. C'mon, everything eventually comes down to Star Wars. The fallen knight. He had hopes, had great good, but fell. The Lucifer story. Maybe the ideal he had of himslef was too high and it tormented him. If I can't be this, then I'm nothing. His evil is a form of self-loathing. He does bad knowingly, reveling in his fall and using it to justify his hatred of himself. He's a geat figure because he's the dark reflection of our hero (though all good villains should be this). He's saying "I was just like you, once. And you'll be just like me, one day soon."
4. The Alien. The non-human. Now this villain doesn't need tentacles or razor sharp teeth and acid for blood, but he's the unknowable villain. Someone we feel who's mind-set is so apart from our own that there's no meeting ground. It's kill or be killed. He won't change, he's not misunderstood, he is what he is and that's that. Add your favourite terrorist group under this heading. By making our enemy an alien we can justify anything we do to him. Since he's not human the rules don't apply. The only solution is extermination. See Item 1 to where that all leads.
So, that's a brief snap-shot of the villains I've found fascinating. Feel free to add your own but ask yourself, 'why him?'. Good villains are hard to find.