There is something lacking in the game, that I believe could make things alot more interesting if introduced. An extended relationship and appearances of a villain.
Notice that each villain is basically tied to a single expansion. We don't see or hear of them before their expansion ingame, until their time comes (or Blizzard decide to resurrect them, like Ragnaros).
What I would really like to see is a villain that we interact with, match wits with, or even befriend throughout a greater period of the game. Think of characters like Darth Traya or Palpatine, or a mob boss that does deals with the upfront criminals to arm or supply them on the streets.
Another thing is, every villian we face, other than Alliance/Horde, are either Lawful Evil or Chaotic Evil. It would be nice to have a villain that is Chaotic Neutral, or a Lawful Neutral who the extended villain above has manipulated us (long term) into fighting.
My main point here though is that I believe that it would be nice to have a villain that we build a kind of relationship with and are exposed to over multiple expansions, finally ending as a fightable boss that we've looked forward to because we're familiar with them, rather than some nostalgia to WC2/3.