There's one elephant in the room that needs to be addressed here: most of the time, the default assumption is that in the end, the bad guys will lose. Therefore, if you want to play a villain, you have to be ready for your character to lose. What's more, this is not a courtesy that will be necessarily shared by your opponents! Some of them may be willing to lose, but most won't. You might have some successes on the way, but unless you're a harmless or funny villain, most hero-type characters will expect to beat you in the end.
You have to accept this. If you don't, you should reconsider playing a villain.
You have to accept this. If you don't, you should reconsider playing a villain.