Well to me they have the "cool factor" going on and seem to play big parts in their respective games. Nightmare is very diabolical and twisted, with Meioki having stranger abilities like cursing Ouka and Kikuka, or stealing maidens energies via sex, using them for bug incubators... the original curator of this crazy idea that really defines the series.
Kyou has the spider boss, but is it even a character? And the orange guy from Goku didn't do much for me, had some good scenes and some nasty (poor Takeru), and he was just kind of like a big normal ogre. I guess Nightmare isn't super creative in design, but he's cool, and Meioki is the one with a really interesting design.
Demon Yamato could have been way better and there could be some fun in them having to reverse rape him to keep him from going insane ... but that story arc doesn't interest me much.
I like a good villain where I can fantasize putting myself in their shoes. I wouldn't be against a new villain! I'd just like to see something more along the lines of Nightmare and Meioki.
Remember Mouryou no Nie? I actually think the bug mummy villain from that game was really cool. I don't think he was the main boss, but that was a fun design. Maybe a magic puppet with organic/bugs inside?
I don't know how they'd do this with the censorship issues, but I think a demon with a large snake sized tentacle within their own dick would be awesome, like a tongue... so they go in and the girl thinks taking that huge rod is tough enough, but then the tongue comes out and can swim around their insides. :D