This question can be answered by the
Kardashev Scale.
The answer is, anything in category 4. Any race or entity that can redefine the universe in a way that makes you dead or non-exist, wins.
Ori, Startrek Q, Timelords, various gods and all that mess.
Alternatively, any beings made of anti-matter. The results of first contact would wipe out solar systems. Though I'm not sure that would qualify as villainous as much as accidental.
I enjoy the more subtle villainous races. Like
the silence. Any half-assed xenomorph wannabe can pose a threat to humanity. It takes a little more skill to do something with that power.