If you've ever run a Super Hero game, than you've probably heard something along the lines of "Man, I'd love to play a super villain in one of your games." It seems to be a very common request, and can show up in non-super hero games as well. Based on no factual data at all, the trend seemed to have started in the 1990s, very likely inspired by games like Vampire: The Masquerade and Werewolf: The Forsaken and their growing popularity. In those games, you got to be the monster prowling around at night. You were the predator, not the prey. Now, a villain game can be a lot of fun. Or at least, that has been my limited experience with the concept, but there are some things that you - and your group - need to be aware of going in.
Proactive Players Are A Requirement
This is the big one that needs to be understood, and understood quickly, if you want to capture the actual feel of being villains. See, the villains are the active element of a story, while the heroes (at least in comic books) are the reactive element. To put it simply, the hero can not foil a bank robbery that isn't in progress. This means that your players are going to need to be the ones planning and putting things into motion, not you.
Now, as a GM this might sound like a good thing. Less prep time, right? Actually, wrong. Since you don't know just what the players may be up to - odds are you'll have some idea, but still - you need to have the world better defined in your head. How the world reacts is important, and with proactive PCs it quickly becomes the most important aspect of the world.
For the PCs, this can actually be a very hard thing. Most games are based around a simple formula. The GM gives the prompt for adventure. The PCs heed the prompt. The adventure begins. When you have to be proactive though, that means that you are doing the prompt. You need to come up with the scheme, work out the plans, and all that other fun stuff. Effectively, you get to do the session planning - at least to an extent - while the GM then gets to play the heroes coming after you.
Ratings Are Important
This is more of a cautionary note, but people have different ideas in mind when it comes to playing villains. One player might be thinking along the lines of Golden Age villainy with silly plots to take over the world by resurrecting the dinosaurs. Another player might be thinking a lot more iron age: murder, torture, and that wonderful R word I always tiptoe around. Now, this is less of a problem when the GM is playing the villains and controlling the world, after all, the GM then gets to choose the crimes in question. When it is the PCs planning it though, they get a lot more ability to make things darker than you had intended. Perhaps even too dark.
Because of this, it is very important that everyone in the group knows where the boundaries are. It is one thing when a light hearted Dr. Horrible-esque Wonderflonium heist is planned, and someone goes all Heat on the driver. It is a totally other thing, when a player starts really exploring their darker side and making everyone uncomfortable in the game.
Things May Get Boring
This is more of an extension of being proactive, but this merits its own mention. Sometimes things are going to get dull. The PCs will have to think up their next moves, and plots are hard to get into when it is the GM playing the reactive forces. Because of this, there may just be times when the game is damn boring. The PCs need to come up with their next move, and, in the early stages especially, no one is going to be coming after them until they start actually moving and shaking pieces to get what they want.
There are two basic ways to handle this. One is to make the PCs establish big goals that they are working towards from the beginning, this gives them a road map for what they are trying to do, and thus what they need to do next. The other, is to 'hire' them for some missions in the down time. Basically, when they start to get slow, hit them with something to get them moving again. The problem with this though is that it can quickly turn the game back into the normal structure, which then can rob from the feeling of the PCs being the proactive ones. So, if you do do it, try to be careful.
Staying a Group
Finally, at least for this post, with proactive PCs it is entirely possible that the group will not remain a group for a long time. They may split up, frequently or permanently, leaving you with a juggling act of having to move between players and groups. Now, this isn't necessarily a bad thing, but it is something you need to be aware of. Be ready to juggle time and balance player time in the spot light.
Getting the group back together is also a lot harder when they're planning their own jobs and heists. So, just be ready for it.
There are more things, but those four are the big ones I've seen. A game with proactive players can be a lot of fun though. The players can come up with some very interesting things, and it gives the GM a chance to be the "good guy" for a little bit. Just be ready to think on your feet, and I'm sure you'll do fine.