While I am intending this post to tie in with Halloween, the best examples of such creatures in Baum's fantasy work actually appear in a Christmas-themed book, The Life and Adventures of Santa Claus. Here, the main villains are the Awgwas, large creatures that could fly around the world invisibly and influence humans to do nasty things. Their government was sort of a skewed democratic monarchy, in that the Awgwa who thought of the worst deeds was elected king. The Awgwas hated Santa for the joy he spread to children, so they tried to stop him in various ways, but were always thwarted by the jolly man's immortal friends. Finally, they openly declared war against the immortals, and gathered allies from among the nastiest beings in the world. I might as well quote Baum here: "There were three hundred Asiatic Dragons, breathing fire that consumed everything it touched. These hated mankind and all good spirits. And there were the three-eyed Giants of Tatary, a host in themselves, who liked nothing better than to fight. And next came the Black Demons from Patalonia, with great spreading wings like those of a bat, which swept terror and misery through the world as they beat upon the air. And joined to these were the Goozzle-Goblins, with long talons as sharp as swords, with which they clawed the flesh from their foes. Finally, every mountain Awgwa in the world had come to participate in the great battle with the immortals." Despite the impressive appearance of these monsters, however, they were no match for the magical weapons of the good immortals, under the leadership of Ak, the Master Woodsman of the World. Baum uses this as a lesson that good always triumphs over evil, but I think an alternate moral could be, "Don't mess with Ak."
In his crossover story The Raggedys in Oz, Ray Powell uses the idea of this great war of good and evil in the background for his new villain, the Black Magician Cell-U-Loid. He was once the leader of the Philms, nasty creatures who were made of film and had the power to make their enemies (who were just about everybody) disappear. They lived in Philmland, which was located next to Patalonia, and used wild Gadgols (flying creatures mentioned elsewhere in Life and Adventures as predators of trees) as steeds. The Philms missed the war because their leader was assisting the Roly-Rogues of Noland at the time, but when they tried to avenge their former allies, Ak blew all of the Philms except Cell-U-Loid himself to a faraway land where they were destroyed. The Master Woodsman turned the Black Magician into a cactus, and he remained in that form until Percy the Rat foolishly disenchanted both him and Ruggedo. The evil creature conquered Oz and lured Ak into the Nome Kingdom, where his powers were weakened. Fortunately, Raggedy Ann and Andy figured out that he was weak against flint, and his plans were thwarted.
Baum himself had Santa captured by another evil crew in a story appropriately titled "A Kidnapped Santa Claus." This time, the offenders were the five Daemons of the Caves, each of which represents a different personality trait. The Daemons of Selfishness, Envy, Hatred, and Malice all tried to keep the gift-giver as a prisoner; but the Daemon of Repentance let him go again, although unfortunately not until after he missed his Christmas Eve rounds. His helpers managed to fill in for him, however, and it all turned out happily.
There are some thoroughly nasty characters in The Emerald City of Oz as well. When the Nome King plans to invade Oz in order to retrieve his Magic Belt, he sends the newly-appointed General Guph out to gather allies. He first recruits the Whimsies, fierce fighters with tiny heads, who wear giant pasteboard heads in order to hide their lack of intelligence. They cannot be killed, and are described as "evil spirits," although they obviously have bodies. Next come the Growleywogs, skinny but muscular giants with immense strength and sadistic dispositions, who are ruled by a leader known as the Grand Gallipoot. I suppose the Growleywogs aren't quite as strong as the Herkus, but we never see a battle of strength between representatives of the two nations, so we don't know for sure. The name is obviously a play on "golliwog," which was presumably also the source of the recurring exclamation "Great Gollywockers!" in the Thompson Oz books. The last and most dangerous allies recruited by Guph are the Phanfasms, shape-shifting beings of immense power, who join the Nomes simply so they can make happy people unhappy. The Phanfasms dwell in a beautiful city on top of a mountain, but it just looks like a pile of rocks to visitors. On the Scarecrow's advice, Ozma places dust in the Nome King's tunnel, and all of the Nomes' allies drink the Water of Oblivion and forget their goals. I tend to doubt the memory loss lasted too long, however, and the Phanfasms appear in several other Oz stories. Joe Bongiorno presents a possible way to tie all these stories together here. The Phanfasms are also the main villains in the Emerald City Confidential video game, although that portrays them as simply beings with animal heads, rather than shape-shifters.
Jack Snow, who had experience as a horror writer, introduced some of his own evil beings in the Mimics, who are fairly similar to the Phanfasms in that they specialize in shape-changing. Like the Phanfasms, they belong to the race of evil spirits known as Erbs. They also possess a power that the Phanfasms presumably do not, in that they can steal the forms of people, leaving the copied victims frozen in place. When Lurline enchanted Oz, she cast a special spell to prevent the Mimics from harming the Ozites, and left Ozana on Mount Illuso to serve as a guardian. The plot of Magical Mimics involves the Mimic rulers, King Umb and Queen Ra, managing to temporarily break the spell and invade Oz.
One thing we really don't see in Baum's fantasy universe is an ultimate evil along the lines of Sauron or Voldemort. About the closest we get is Zog, and he's killed off in the same book that introduces him. I know some fans have tried writing such a being into Oz, but they've generally reported that it didn't work out. Maybe that's actually a good thing, as the Almighty Lord of Evil is sort of a cliché by this point.