"Thor's next adventure will be Age of Ultron, so that's where all the Thor effort is going. But there are things you will see at the end of [The Dark World] that certainly hint towards and could lead towards a third Thor adventure if that’s what audiences want to see. We definitely have a story we’d like to tell."
-Marvel Studios President Kevin Feige, Interview on Thor: The Dark World
And it appears they've decided another Thor movie is what audiences want to see, considering the abundant success of Thor: The Dark World and confirmation by Kevin Feige himself when talking about hiring Craig Kyle and Christopher Yost for Thor 3:
“I am proud of Craig and have enjoyed working with him over these past years. His creative instincts have helped shape Thor and Thor: The Dark World at every level of the filmmaking process. The entire team at Marvel is very happy to continue collaborating with Craig as he continues as a screenwriter working with Christopher on the forthcoming chapter of Thor’s adventure.”
This statement from Feige is pretty much our guarantee at Thor 3 in Phase 3. So what all do we ACTUALLY know about potential villains in the future of Thor? They could always bring back Loki, the Frost Giants, or the Dark Elves, but that seems rather unlikely and rather uninteresting to their audience as well, so let's see what we really do and don't know about the Asgardian's world.
In Thor: The Dark World, we saw a fiery preview of Muspelheim, home of the Fire Demons and one of Thor's biggest enemies: Surtur. Malekith of the dark elves seems almost a petty villain compared to Surtur. [SPOILER ALERT] Considering Malekith is the one who is responsible for the death of Thor's mother, that's saying a lot. Surprisingly enough, Surtur kills Odin in the comics, and Loki seeks revenge for the father he hated much like he did with Frigga in Thor 2. Could Surtur be Thor 3's main villain? To top it off, he's a pretty big fan favorite, and pretty much looks like the modern interpretation of the devil, so he would definitely serve as a pretty good conflict of a given storyline.
Other people have speculated that with the coming of Ultron and the Vision, both artificial life forms that can actively think and function on their own, that another of Thor's villains may be the source of mischief in Thor 3. Ragnarok is a cyborg clone of Thor, which for obvious reasons could create quite some confusion. With the confirmation of artificial life to premiere in Avengers: Age of Ultron, this idea would no longer be a stretch. Though Ragnarok was created by Iron Man, Marvel is pretty good at changing origin stories, so don't assume that if he appears that he has to be product of Tony.
As far as we know, there's even room for both. If Surtur were to kill Odin, then Loki could create Ragnarok, and Asgard and Midgard would have an all-out war over who is the real Thor, which very much sounds like the kind of mischief Loki would be up to. Then, after the battle, Surtur would have his time to attack while both Asgard and Midgard are weak. Makes sense, but is still no more than just a basic possibility to show how the villains could indeed fit together in one story.
So far these are the only really heavily speculated villains. Is there a villain we missed? Comment with who YOU think will be the villain of Thor 3!