In the stories I've written, I've often favored the "no major villain" approach, or moral ambiguity. However, there was one character I created that ballooned so out of control I'd created a story around him that was simply impossible in scale.
His name was Ivory, named for the color of his skin and clothing, both of which were completely blank white. He was basically Dr. Manhattan, but with the personality of the Joker: a nigh-omnipotent, omnicidal, sadistic, malicious manipulator, trickster and destroyer of worlds. His backstory was that he was a boy born on earth, who is parasitically bonded with the reincarnation of a member from a Green Lantern/Watcher type group of beings I named Stargazers after an Avantasia song. It's much, much, (way too) much more complicated than that, but for brevity's sake I'll say multiple personalities, dimensions and time travel are involved.
The reason for his villainy was that the reincarnation in his body committed an unspeakable act that threatens the entirety of existence, and as such is hunted by them. But since the being inside him is essentially a hibernating parasite, there's no way for them to find him. Only after the parasite awakens do they know its location. But the beings hunting the parasite can't kill it. One of the core elements of the Stargazers was "You don't have to die if you don't want to". As in, they can't be destroyed by anything or anyone, unless they themselves truly so desire. So instead of taking direct action, the Stargazers seek to make the boy's life living hell to make him truly want to die. But despite their efforts over years of time, the boy persists due to his human will to survive and live. Instead, the being awakens fully, and grants the boy all the powers of its former self, creating Ivory, out in the universe, with a vendetta against the Stargazers.
I really liked the concept, and was even a little proud of being able to give both sides of the conflict sympathetic motivations, but ultimately the sheer scale of it was too much to even try to begin to write it as a story. A poem, maybe, or a high concept music video, but as a written narrative, no.
What made him a villain is that he has the powers of a God, but only the mind of a human who's been tormented all their life. Therefore he places no value in life, seeing it only as his plaything, and holds no emotional bonds towards anyone. His only plan is to see the Stargazers destroyed, but since he can't the situation is a deadlock. Instead he's forced to escape the Stargazers trying to capture him, while taking out his resentment and learning his powers by tormenting others. And by that I mean entire worlds.