There are many terms from classic and modern SF that remain unresearched, and the Historical Dictionary of Science Fiction will be continually updated, especially as additional resources are put online. Boing Boing is syndicating new entries from the HDSF on a regular basis. (Read the series introduction.)
Supervillain
The science-fictional history of the word supervillain is hard to trace primarily because it's hard to agree on just what one is. A superhero is not just a really terrific hero—or, rather, it originally was; piles of news articles in the 1910s and 1920s apply the word to the brave feats of military men. But in the comics sense, a superhero generally has superpowers, powers beyond what is possible for ordinary people. Unless you are, say, Batman, in which case aren't you just a rich guy in a costume with fancy toys? No, the toys are also beyond what is ordinarily possible: they use superscience. There are still nuances, of course, and one can reasonably debate whether a costumed do-gooder with no special abilities or gadgets deserves the name, but for our purposes, we will stipulate that, say, pre-surgery Kick-Ass wasn't a superhero, just a kid in a suit.
While there are many tropes associated with supervillains (genius-level intelligence, vast wealth, dreams of global conquest, costumes, longhaired cats), we will make their defining characteristics the same as those of superheroes—superhuman powers or magical science—but used for ill rather than good.
Like superhero, the word supervillain is found in generic senses at an early date; the Oxford English Dictionary has evidence from 1912 in the sense 'an extremely villainous person', and from then on there is no shortage of examples referring to dastardly deeds. But unlike superhero, which doesn't clearly show up in the comics sense until the 1930s, there are several early quotations for supervillain which would seem to represent our modern sense. A 1917 newspaper review of a play describes a scientist as "the supervillain who does the plotting," with said plotting consisting in part of developing a bioweapon from a leprosy germ that would instantaneously incapacitate a victim; we're not a doctor, but that seems sufficiently unlike how leprosy works to count as "superscience." A 1920 example uses the word in reference to Dr. Fu Manchu, the stereotypical evil genius mad scientist. And a 1933 story features a Professor Sheldon who has a secret hideaway in an undersea grotto that he can flood as a defensive tactic; although lacking a longhaired cat, this also strikes the reader as pretty darn supervillainous. By this time, the comics sense catches up to us, and we are unquestionably in supervillain territory.