Great thread.
This is actually one of my favorite Evil GM things to do, and I have done it using several different tactics.
Before you dive in (and this thread indicates that you are already aware of it, but it merits re-stating), be cognizant that this requires a bit of finesse. Unless you have a dead lock on gauging the power level of your PCs and a good grasp of their strengths and weaknesses, you need to be [WARNING!: NON-GMs MAY NOT READ BEYOND THIS POINT] willing to fudge a few things. Nothing drastic, but have a plan for what happens if your Lone Wolf Villain is too weak or too powerful...really, any Arch-Villain worth his salt should have an escape plan, but have a rescue plan for if you come on too hard - the Calvary arriving at the last minute is always nice, chasing off the Bad Guy...I'm a fan of collapsing bridges, daring chase scenes in which the PCs narrowly escape, external factors beyond the Villain's control (the hockey game gets out and the street is suddenly flooded with witnesses), or (another favorite) the experimental equipment that the Villain is using doesn't have all of the bugs worked out and it fails at just the right moment to avoid a TPK.
As for the HOW, you have a plethora of options. Just decide if you want the Uber-Combat Battle Suit, the pesky ninja (I <3 Pesky Ninjas! (as an erstwhile pesky ninja, I may be biased)), or the Bizarre/Unholy Cosmic Power route. There are countless others, but most are familiar with those.
I will throw out just a couple of examples:
In Traveller, I had a Zhodani Rogue with some serious Psi mojo that was the party's most hated enemy (I'm pretty sure if I called any of them up, now, 20 years later, and said "Raphael" they would start muttering profanities) - his deal wasn't that he was a combat monster, or even particularly good at any one thing. He just had the ultimate bag of tricks up his sleeve. From ambush, he was good for taking out one, maybe two PCs (and only from ambush, they would have stomped him in a fair fight) - and he was extremely resourceful and mobile. If cornered, he would teleport. If outnumbered, sabotage and diversion. Reported to the authorities, he'd already bribed all the right officials to get the PCs framed instead.
Back in AD&D, I had an Anti-Paladin who could (and did) go toe-to-toe with the party, single-handed. Epic battle...no holds barred, no quarter asked nor given...the PCs literally had an army battering the doors to the throne room (if the PCs were going to all die, the Calvary was prepped and ready) - and for the Anti-Paladin, well - he ALWAYS had an escape plan. A Nightmare for a steed, so he could pretty much get away from anywhere, was his favorite - but later in the campaign, when things were really powered up, he'd gotten his hands on Artifact armor, and when decapitated by a Pesky Ninja (see above) his body transformed into serpents that slithered away. A moment of euphoria from the players at their great victory - followed seconds later by the crushing realization that they couldn't really be sure they had won at all.
Which leads me to my final point - there's more to this tactic than just balancing the opponents. You need to really keep an eye on the engagement and enjoyment levels of your players. This is an exercise in frustration. You need to challenge your players, and they will be furious with this Villain - but you have to walk that razors edge where they are in the "I am SO gonna get this @#$%!!!" zone, without crossing into the "The GM is never going to let us beat this guy, and is totally cheating!!!" region of frustration.
The PCs have to honestly believe that they are constantly on the very cusp of victory - it will keep them on the edge of their seats. But the moment they think that you're actively intervening to foil their righteous vengeance, the instant that they think that it is hopeless, you've lost them. With this plot device, with great risk, comes great reward...
-Jn-
Everyone's Favorite Vile Fiend