Robin D. Laws is (as always) saying some interesting things today, and I thought I'd chime in, because it links up with something I've been thinking about for a while.
Some of the best single sessions I've ever run revolved around PC failure. There is, I think, a technique to it, that I stumbled across by accident, but I've found it to be very powerful when used properly. Those of you who have played games I've run before will probably recognize it; I wasn't using it intentionally then, but it's been handy enough that I put thought into how to repeat it.
First, set the PCs up as fairly competent. This is important--it's no fun to just start losing and never stop. The players need to feel that they and their characters are equal to most challenges you're going to throw at them.
Then, have a villain just barely get away. Success mixed with failure is key here. Have the villain escape just as the players have foiled the evil plot. Or let the players learn the identity of the villain, or that there is a villain, even as the villain's plans go into action.
Another handy trick is to have the villain take something important to the PCs--they haven't been killed, and they've technically got the villain on the run, but damn do they want to get the bastard.
This is the absolute best way I know of to get a party interested in taking out your villain. Ideally, there should be some kind of action they can take against said villain. Even if you'd rather they not totally foil the evil master-plan, giving them something to attack or some direction to start moving in will help keep them from throwing things at you.
Because the goal of this trick isn't to have the players despair, with cries of "Blast! Foiled again!" It's a way to get them very, very motivated, in a way that you have control of--and as a benefit, it's a way to get them invested in the world, and making plans. Because they will want to make plans. Plans as only wronged players can make.