Cutting straight to the point, I love how FF7R is building to the main villain. No matter how many parts the series has, it is safe to assume Sephiroth will continue to torment the party and be defeated in the final battle. The final fight in part 1 of FF7R still amazes me a month later, maybe just for the fact that we know that the fight isn't over yet. I know FF7R doesn't really count because it is a remake, but that leads me to my next point.

Does anyone have any recommendations where the main villain is built throughout the games/series? I know this is kinda more apparent in anime(Such as Bleach and its main villain), but I was just wondering due to how much I enjoy this approach in FF7R. Any genre would do, thanks to anyone who can help. 

Yeah multiple games/ series( it was really hard to explain what I mean in the OP lol) 

That's weird because although I love FFVII:R, one thing I thought they did badly was showing Sephiroth way too early and not building him up properly like in the original.

To answer your question, not the main villain but I thought that the Big Daddies in Bioshock were built up perfectly, you first see a glimpse of one, then you witness one eviscerating a splicer who attacks a little sister so when you're confronted with one and you're asked to take him down you're going "Are you kidding me?".

Final Fantasy 6

I dont think FF7r build Sephiroth that well, rather they used him as a plot device to get to the very meta ending. If anything they are building to the idea that subsequent parts might deviate from the story. im fine with that, I liked it and its an interesting direction.

As for the topic at hand, the one that comes to mind is Wesker in Resident Evil series. Tho sadly the game where you finally kill him "for good" its among the worst of the bunch.

I felt the same at first, but its clear by the end of the game they were getting major things out the way that involved what we already know about Final Fantasy 7. Clearing the plate (excuse the pun) for something bigger.

As for OP, Xenosaga is another one.

The Boss in Metal Gear Solid 3
Ocelot across Metal Gear Solid 1, 2, & 4.
Zues across God of War 2 and 3
Nishiki in Yakuza Kiwami

I'm pretty sure I'm near the end based on my experience with with DQ1-4, and 8:
Mordegon in Dragon Quest 11

I'm not any where near finished it yet but so far:
Ryuji Goda in Yakuza Kiwami 2

It's not a game but just for fun:
Thanos in Infinity War... but not in Endgame...

Kefka in FF6

Vayne in FF12

Dhoulmagus/Rhapthorne in DQ8

Van in Tales of the Abyss

Mondain in the Ultima series, who was involved with the villains of all the subsequent games in one way or another. The Guardian from the last 3 games was supposed to be a reincarnation of Mondain until corporate meddling forced them to rewrite his story. Even on his own, the Guardian is built up throughout the entire final trilogy. He appears almost from the beginning of Ultima VII.