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I have a villain. The villain is the hero of their own story. The villain starts off as good, looking to overthrow a monstrous leader. They were once in the same shoes as the heroes. Part of the heroes' journey will be to not fall from the heroes path the same way the villain did.

Is there something that can make the reader sympathetic to the villain as they make the cruel choices. I don't want the reader to love the villain or agree with them, perhaps just be a little sad that they gave up their humanity along the way.

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You don't need to do much to make a reader sympathize with a villain. As you said, a reader doesn't have to like or agree with the villain, and in most cases they really shouldn't. However, a reader should be able to put themselves in that antagonist's shoes and see why they think the way they do, and why they have the mindset they do and make the choices they make. This is the key to creating believable villains that the reader will connect with and understand, despite not actually agreeing with their goals and their (usually horrible) actions towards the protagonists and others.

Great ways that I have found to make a villain more sympathetic and believable, while still keeping them "evil" enough:

  • Give the villain a backstory that shows where their dark side comes from. Perhaps they are cruel and hateful towards others because other people in their life have been cruel to them, and they have never learned any different. Perhaps they were brought up in poverty and needed to do terrible things to survive. Maybe their close friend or spouse fell ill and they turned to dark arts in desperation to save that person's life, but those arts slowly corrupted them. Whatever it is, give them something to show why they became this way and make them more sympathetic to the reader.
  • Give them a personality beyond just "being evil." A personable, charming, charismatic villain is sympathetic even while they perform horrible acts, and even small character traits beyond "evilness" go a long way to making sympathetic villains. A great example is Gollum from the Hobbit, who was corrupted by the One Ring's darkness but still retains flickers of his old personality and kindness he once had, making him sympathetic.

"Gollum looked at them. A strange expression passed over his lean hungry face. The gleam faded from his eyes, and they went dim and grey, old and tired. A spasm of pain seemed to twist him, and he turned away, peering back up towards the pass, shaking his head, as if engaged in some interior debate. Then he came back, and slowly putting out a trembling hand, very cautiously he touched Frodo's knee." - J.R.R. Tolkien, The Two Towers

  • Have a character whom the villain shares their thoughts with or confides in, to shed light on how they think. This could be a foil to the villain, or a captured protagonist whom the villain debates philosophy with, revealing layers of their character. An example is the imprisoned soothsayer from Kung Fu Panda 2, with whom the antagonist, Shen, debates the morality of his actions and thus illustrates why, under the cool facade he presents to the protagonists, he really wants to conquer China.

Soothsayer: Are you certain it is the panda who is the fool? You just destroyed your ancestral home, Shen.

Shen: A trivial sacrifice, when all of China is my reward.

Soothsayer: Then will you finally be satisfied? Will the subjugation of the whole world finally make you feel better? ...It is time to stop this madness... So your parents can rest in peace.

Shen: My parents... hated me.

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In Writing Screenplays that Sell, Michael Hauge lists these methods for creating empathy with a character, and I believe they work the same for heros and nemeses:

By creating sympathy - by making the character a victim of undeserved misfortune.

By putting the character in jeopardy - which doesn't have to be life threatening. It could be about the danger of exposure, embarrrasment, loss of a job...

By making the character likeable -

  • showing them as good hearted and generous (this particularly relates well to your question - he cites Tom Hanks in Road to Perdition being a mobster and hired, killer, but he is first introduced as caring family man - gaining the audience's empathy)
  • showing them as well liked by other characters
  • Make them funny - there are some really reprehensible characters out there that we still like because they make us laugh

By making them highly skilled - we are drawn to people who are talented

By showing them in touch with their own power - closely related to skill. Powerful characters fascinate and attract readers

By giving them flaws and foibles - we all walk into walls from time to time, so seeing a character do the same increases identification.

Hopefully there's something in there you can use!

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Make him three dimensional and give him, as Sciborg says, a backstory to explain his journey into the shadows.

The character might just see the big picture and think the hero is naive and no different from how he was once. He will not notice the corruption of his soul as it was gradual and seemed necessary to attain his goal.

You could give him moments of regret and he might misunderstand his own situation just enough that he believes he might help the hero by teaching him what experience taught him.

Villians who are one note are boring. Those that are complex and have thoughts beyond destruction are more chilling and intriguing as they are more realistic.

Sometimes the villain is right. Ozymandias in Watchmen did what he did to promote world peace. Lex Luthor in Batman vs Superman is presented as a man who saw the big picture and might actually be right about potential risk of having an alien living among us.

Give your dark one some thoughts outside of plotting, something beyond ruling with an iron fist. He might have learned the necessity of such from history. The Tsars, for example, tended to alternate between a ruler who wanted to improve the lot of his people and failed - often assassinated - to tyrants who saw their kinder father killed by the people he wanted to help. His son would rue the lengths to which his father went and be lenient, repeating the cycle.

Make him a person who has strayed off the path and not noticed that the darkness he sees is within him. Give him something to hold onto, something beyond the usual. Give him some humour and maybe some charm. His actions are terrible, his choices impossible, but he himself believes that such must be done, sacrifices made for the greater good.

In one novel I was working on, I had my hero hating my villain. He hated everything he stood for and he would strive to foil him at all points, knowing himself to be the hero. He was the mage wielding white magic and this black sorcerer was evil incarnate.

Only, I discovered he was wrong. My villain was serving the greater good, making sacrifices that seemed impossible but were necessitated by the actions of the hero, who was wreaking havoc with the best of intentions. I had a villain who was serving the good and a hero who was paving his road to destruction with the best of intentions. I liked this better, the supposed hero being an inadvertent villain and the feared villain holding everything together with everything at his disposal.

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