I spent 3 hours putting my players through a tortuous fight against an invisible enemy and the freaks loved it. They were running in circles trying to find and counter it, only to get lured into aggroing and even harder encounter, at which point they fled. They got a piddly amount of xp for the handful of PL-4 enemies they downed along the way, then spent the last hour of the session reading rules to prepare for round 3.
All the invisible bastard did was hit and run, eating up their resources and wasting their time. We finished the session with them walking back into the exact setup they encountered almost 2 sessions ago when they first met it, and yet they're excited to face it again next week.

The last time my players were this excited about an enemy was fighting the Lamia sisters in Rise of the Runelords, who would dimension door away from fights they were losing. The players went absolutely wild with conspiracies and preparation for future encounters. Generally I struggle to get them to look at anything outside of sessions, while an enemy that runs away will even get the ADHD one to pour over lists of equipment.

So next time you want a villain to be memorable, just walk away. Mid fight, when it looks like the party are starting to get the villain on the ropes, just peace out. Say "nah man, I need some backup". And then when the backup dies, just peace out again. Buh-bye. You can do it for months without them tiring.