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 i...