One of the more difficult foes Tarma and Kethry have to fight in the book The Oathbound (Vows and Honor series) is Thalhkarsh, a demon summoned by accident by a young sorcerer trying to conjure up an imp. He mispronounces the imp's name, and gets a demon instead.
The sorcerer is killed by the demon, who then uses the sorcerer's apprentice to get out into the world. He sets up a temple where the demon can be worshiped as a god by means of sex orgies and the human sacrifice of local whores. Thalhkarsh believes that with enough worship he can become an actual god.
Tarma and Kethry are compelled to fight Thalhkarsh because of the geas on Kethry's sword, Need, which compels her to aid women in distress. After nearly being defeated by the demon twice, T & K are victorious and the demon is transformed into a lovely, fragile woman who is handed into the care of magery-skilled priests who will preach goodness and light at her until it sticks.
Demons make the ultimate villains for fantasy and horror precisely because they are pure evil, intentionally. They are pure spirits without the passions of humans, which means, I understand, that once they have set out on the course of evil they are wholly unable to turn back--- that's why Christ didn't die on the cross to save Satan and the fallen angels from hell, their nature makes it impossible for them to repent. Even outside the Christian context, as in Mercedes Lackey's work, there is the sense that demons are the kind of bad that won't be fixed and won't ever show mercy.
The nearest comparison to the demon in realistic fiction is the sociopathic character. A sociopath does not have empathy--- not in the sense that he cannot detect the nonverbal clues to what other people are feeling, but in the sense that when he knows, he just plain doesn't care.
But while it may not be possible to fix a sociopath, it is possible for a sociopath to decide it is in his best interest to do the right thing, or to show mercy. A demon on the other hand has an unquenchable hunger for evil--- he wants to eat your soul for dinner. On toast.