Ah, villains, we all love them. We all love to hate them. The big question is: Do we kill them off at the end of the story or not???
Well, the answer is: You can if you want to, but you don't exactly have to. I know that is rather vague, but it's true. According to many of the writing books and articles I've read, even certain genres, such as mystery, don't actually require the demise of the villain you so artfully crafted. The rules of the mystery genre only state that their needs to be closure between your hero and your villain. So you can have your main character do him or her in if it suits your story, or you can simply have the bad guy brought to justice. After all, there may be some redeeming quality in the fellow.
So, just write what comes naturally for your particular story and characters, and don't forget that sequel!! You just spent oodles of time making up the best of villains, and if you off the guy how can he come back stronger than ever in your next book??