The problem with the Borg is that they are monsters, not villains. Villains are like heroes or any regular character. They're meant to be complex like real people so the more you develop them, the more interesting they become.
Monsters are not real people; they are more like icons or forces of nature, meant to represent some deep seated fear or idea. They are meant to be simple and elemental, not complex, so the more you learn about them, the more you realize there isn't anything to learn. They become boring through overuse. Boredom kills fear, and if a monster can't inspire fear, it's useless.
The monster aspects of the Borg - invincibility, implacability, mystery, the threat they pose of creating "zombies" out of your friends or yourself who can never be cured of their living-dead state - are what make them interesting. Trying to add details to them by turning them into real characters (Borg dissidents for instance, bleh) took interesting monsters and turned them into characters who had nothing special going for them and weren't good villains or good anything.
The only way to handle the Borg is to use them sparingly and respect their effective monster elements - they should be extraordinarily difficult to beat, assimilation should be irreversible, and they should have no elements of individuality such as queens. Good characters are hard to make but good monsters are really rare, and need to be handled with the extreme care you'd show to anything that is both fragile and valuable.
