Killing the heroes just escalates the stakes for the villain, and villains often depend on a bit of secrecy. If they anger the powers that be they might arrive with the Marines before the death ray is built. Then you can spend the next few adventures letting the PCs discover the hidden links in the chain. Star Wars portrayed one of the best villain plot twists ever. Get players emotional about the bad guy.
Emotions intensify the roleplaying experience.
Be in surprising places. Seem to be everywhere at once. Genius intelligence means the ability to calculate the PCs' next move and get there before them, and only occasionally being wrong. Anon Have the villain give the PCs something useful. Something they want but of minor value to the villain's overall scheme.