No, seriously, does your villain actually make you worried for your characters? Is there a chance your characters might lose to the villain? How do you show your readers that your main character is in true danger of losing a battle--whether internal or external?
In reflecting on the (many) Christian fiction stories I've read, I think this is something that we struggle with as a genre. We know as Christians that the ultimate battle has been won. Ideally, we should be living like we have that knowledge.
But our fiction doesn't always need to show that right off the bat.
How many times in our lives do we "lose" individual battles--though we know that the war has been won? We cave to sin. We lose people we love. We lose jobs, possessions, friendships, security, abilities...the list goes on.
Life doesn't always feel like we're going to make it through or that we're going to reach our promised happy ending.
Don't let your characters get away with feeling like they're going to get through their story unscathed. Even if they know the whole war has been won, make them doubt that. Make your readers doubt that.
Maybe you have your characters fall dangerously close to the "dark side" due to temptation presented by the villain (the quest for power's a little overdone, but what else does the villain have that your character wants?). Perhaps characters die or lose what's dearest to them.
Don't let your readers think that their favorite characters are perfectly safe. You have to draw your readers into a little bit of fear. Make sure they're actually scared of what the villain can do to your characters, or you'll end up with seemingly invincible characters.
Who's the scariest villain you've seen or read about?