Ok, to compress what makes a villain compelling on its stat block:
Strong Theme. I think a strong theme is vital. A statblock should reinforce the theme as much as possible. A gunslinger boss should have a different way to parry an attack than the spiky armor boss or the illusionist boss.
Omnipresent in battle. There isn’t an aspect of the battle that doesn’t reinforce the various aspects of this boss (without work by the PCs). The villain should always be a presence and consideration in the battle. Sometimes this takes the form of legendary actions, villain actions, an aura, debuffs, lair actions, region effects, some combination of these, or something else entirely. The nature of these will change depending on the boss, but this aspect is important imo.
On Their Terms. It should take a lot to make a villain fight on terms other than their own. Their environment should support the boss’s preferred playstyle, at the end of a string of other encounters, and with support from the boss’s minions if they want.
No major weaknesses. There shouldn’t be an obvious weakness that is easily exploitable without a lot of effort from the PCs. Combined with On Their Terms, your players shouldn’t have a chance to “cheese” an encounter.
Everything is more dangerous. Even minions might fight more effectively if there’s a boss monster in play. Look at the Scions from Bigby’s and Leaders’ villain actions from Flee Mortals for examples, though those are not the only examples.
Damage isn’t always the answer. Well, it is, but consider other aspects. Minions and lieutenants soak up damage, there might be another goal as well (Save X person, etc.), minions present a bigger threat than the boss, or perhaps there is an actual mechanic the party needs to do to be able to defeat the boss (See my post here for a quick and dirty guide for mechanics)
Bonus:
Stages. Some fights make make good use of stages, where maybe the environment changes, the stat block changes, or otherwise the dynamics of the fight shift every turn or 2. This has produced one of my most memorable fights.
Allies and minions. There’s little more epic than the teamup with some of or all the powerful allies the party has made. When the dragon, archmage, and legendary warrior join the party to kill the archdevil, there’s hardly a better feeling imo. Similar feeling with giving the PCs their own minion to control and help them out (and show how powerful the villain is to creatures other than the PCs). I don’t recommend having more allies or minions than PCs, though I do recommend them being controlled by the PCs.
Let the PCs do the cool thing. When the fight is effectively over/won, the impact has worn off, and the villain has done all their iconic things, it’s just fine to make the defeat super cinematic, letting the PCs do all the unorthodox things to make the fight extra cool.
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