One of the classic tropes of villainy is the villain's monologue, the point where he launches into a little speech detailing what he's done and why, often with an explanation of the inevitability of his success which will soon be rendered ironic by heroic effort. This is a much-maligned idea, and the running joke is often some variant of "If I were the villain I wouldn't just waste my time talking to my prisoners, I'd just shoot them in the head." We laugh and nod because that seems logical, but it's a lie.
The simple truth is that people tend to want to be acknowledged. Just being right is rarely enough—we need the other person to acknowledge that we are right and that they are wrong and to generally concede our awesomeness. For the damning evidence of this, I direct you to every internet discussion ever. Given a person with a plan, a high opinion of himself, a position of power and an opportunity to show off, it seems that a villain who does not monologue would probably be the rare case. Even our jokesters would certainly take time to explain how clever they are to just shoot the heroes and make sure they understand just how smart the person killing them is.
All of which is to say the villain's monologue is a very natural thing, and it should sound like that. It should not sound like a planned speech, but rather like an indignant internet posting. Thankfully, there's no shortage of examples for you to draw on.
For well established villains, there's also a nice emotional twist to the monologue—sometimes the characters are the only audience the villain has. Imagine for a moment that you're a super genius, about to conquer the kingdom after years of work, planning and profound cleverness. Your underlings do their job well, but none of them really understand the big picture. Who are you going to talk to, to connect with on a human level, about this thing which is the single most important thing in your life? The hero you've taken prisoner is not the ideal companion, but you two have a strong emotional bond (even if it's negative) and he gets what you're trying to do. Logic might dictate that you need to kill this guy, but the simple human need for companionship can make it really easy to defer that decision.
If this doesn't seem to make sense, take some time thinking about your own friends, co-workers and people you deal with and the conversations you have—you may find that logic is only a small part of the equation.
As a bonus, the monologue is also a useful tool for the DM who wants to demonstrate he hasn't been cheating. When the villain explains how he did things it can help the players connect the dots of events. Use this sparingly however—if the villain needs to explain more than two or three things this has crossed the line from "tying off loose ends" into "DM gloating over how much smarter he is than his players".
Other Quick Tips for Villainy
* In 4e, Just assume that all villains have access to ritual magic. You'd be amazed how much it simplifies things.
* If you game has action points, fate points, bennies or some other currency that is tied to the character (rather than a GM pool) then be transparent about it. You should absolutely be using those points to help villains survive to recur, but you need to do it out of their legitimate budget. Spending "Just one more" point on the villain for his defense or escape feels like a the kind of sleight of hand players won't notice, but I promise, they will. Just keep things where the players can see them. If the system has a general "GM Pool" then you have a little more leeway, but remember not to cheat it. Even if you fudge, find some other way to do it - cheating on budget is too blatant to stand.
* Respect where things are not. If the players are the first people in a tomb in 1000 years, that's a bad place for ambushers from the rival party to be waiting. If the enemy is going to drop from the trees and they only drop from the trees that are near the characters, things feel false and overly convenient.
* Pay close attention to where your players are directing their ire. Sometimes (perhaps often) the players are better than you at sniffing out who the long-term villain of the game should be. Be willing to change your plans in response to this.
* Be willing for your ultra-cool bad guy to look stupid. When that happens, and your players are the cause of it, it is wildly entertaining. For a demonstrations of this, see nearly any episode of
* A villain that thwarts, cancels, or removes PC motivations and goals is a poorly-done villain. A villain that complicates, changes, or creates PC motivations and goals is doing his job.