I agree. This is why (for me at least) The Avengers, while being a good movie with lots of fun, doesn't really hold a candle to The Dark Knight. Loki really wasn't a very deep or entertaining character and the actual story of the movie suffered for it.
The Dark Knight had not one, but two extremely compelling villains. The Joker really was a truly insane mastermind with a goal that was much more complex than simply wanting to rule the world/city. Harvey Dent's goals weren't all that complex (he just wants revenge) but his the build up of his character and then the subsequent fall was one of the best parts of the movie.
TLDR: Ya better villains make for a better story which often leads to a better movie.
The Dark Knight had not one, but two extremely compelling villains. The Joker really was a truly insane mastermind with a goal that was much more complex than simply wanting to rule the world/city. Harvey Dent's goals weren't all that complex (he just wants revenge) but his the build up of his character and then the subsequent fall was one of the best parts of the movie.
TLDR: Ya better villains make for a better story which often leads to a better movie.