Before we start talking in-depth, however, it's worth noting that villains do share one thing with in-character romance: they're flashpoints for drama. They're not as bad, since it's a lot easier to separate the player from the character, but they still have the potential. They're also not going to fit into every style of roleplaying, as not every group is going to be conducive to having a specific character antagonist to work around. At least for now, we're just going to take those facts as given and look into the most important part of the equation: making and playing an effective villain in the first place.
Birth of a villain
I've only created one character with the express purpose of becoming a villain, but I've made several who send up warning signs right from the beginning. In order to really be a villain, a character usually needs a Purpose.
The capital letters are intentional there. Every character should want something, naturally: your character might want to save the world or might just want to make out with everyone they meet, but they've got a reason to keep going. But a Purpose, capital-P, is something that's more important than any social or moral rules that might get broken along the way. It's something so important that as far as the character is concerned, it absolutely needs to be fulfilled and attended, no matter what the price.
Putting it more simply, characters who believe they're outside of the normal rules are perfect targets for villainy. A paladin, for example, is generally a paragon of virtue -- it's not hard to make a paladin who sees that the world is too corrupted, that more is required to cleanse the land of evil. And from there you wind up in a conceptual slide where innocent deaths are more acceptable, when no price is too great, and... well, that would have been the plot of Wrath of the Lich King, except some of the writers seem to have gone off-track halfway through. You get the idea.
Sociopathic characters are the usual counterpoint to villains with an overarching raison d'etre, but I'd argue that they're still on the side of those with a guiding principle. The fact that said principle is "other people don't matter and I should enjoy myself" is a matter of details.
My evil plan nears fruition
Unless the game world of your choice features an ancient article named the Villain Ball, holding some maladjusted social notions alone won't make a character a villain. This goes double in games like City of Heroes, where playing a villain is a default option that doesn't require out-and-out maleficence. Your villain needs to do something, and preferably several somethings.
Of course, much like with backstory NPCs, this is one of those areas where you are going to run into the limitations of what the game allows you to do with the game engine. Most MMOs paint the players as being generally heroic, and villainous plots largely being the dominion of NPCs. Even in the aforementioned City of Villains, the characters aren't usually expected to mastermind something to hold a country hostage -- they're mostly concerned with stealing money and kicking puppies at every opportunity. So your villainous plot has to be something that works within the confines of the game.
Part of this is mitigated by the fact that in all likelihood, you don't expect the villain to actually succeed. You expect the planning to succeed, and usually every part up to the execution to work fairly well, but the unspoken assumption is that things will fall apart somewhere around the final phase. But there are options other than assuming that your villain is ultimately self-sabotaging and incapable of finishing his plan until the heroes show up to thwart him. ("Right, then, no one ever found my plot to blow up the city. I'll just... yeah, I'll go drop some more hints before we detonate.")
First of all, the outcome of their goals could be largely personal or intangible. A villain in Star Trek Online could be attempting to set phenomena into motion that would eventually render the Klingon homeworld Qo'nos uninhabitable -- but the immediate effects might be all but invisible. Or, by the same token, said villain could simply be attempting to access information that would blackmail the other characters taking part in the arc to work under his command, whether or not they agree with his views. Success or failure doesn't require the game to take notice, just for the players to all know the stakes involved.
A stronger loving world
The biggest problem that you run into playing a villain is that, on a fundamental level, it's a game of the other people playing along. In a romance, you need two people to be on-board. With a villain, everyone involved has to be on board and willing to work together to smooth over the rough points. They have to believe that the character they're dealing with can field a credible threat against them, despite usually being no more or less powerful than anyone else.
So in many ways, when you start moving into a villain arc, you're moving into it with your entire group of roleplayers. They need to be ready and willing to put NPC antagonists to one side for a little while, and you need to make up in dialog and interactions what gets lost in mechanical threats. Be sure to discuss it with the group, out of character, when you're either making a villain or turning an existing character into one -- because it requires group coordination.
Not coincidentally, group coordination is going to be the topic of our next column. (You see how I subtly weave these things together?) For now, you'll have to settle for leaving comments or questions in the comment field, or mailing them off to firstname.lastname@example.org. Much like romance, I have to say, this is one of those subjects I'll probably come back to. I do so love a good villain laugh...