All of the other answers seem pretty good, but they miss something. In-universe, dramatically speaking, there's one additional reason: Villains play for keeps, Heroes, by their very nature, tend to allow for redemption.
Heroes have many origin stories, and not all of them are good; often, a back-story involves the hero being a villain (or on his way to becoming one), until an even 'brought him to his senses' and caused the change to heroic behavior. Sometimes it's not even villainy that was in the heroes path, but simple self-serving behavior. (Look at Peter Parker, for example, until Uncle Ben died.)
The villain tends to kill; he doesn't really care about the state of his target's moral compass (well, excepting situations where the villain sees a possible tool/ally/whatever that can be turned to evil.) The hero, on the other hand, only wants to destroy (kill) totally unchangeable evil, and as a rule, doesn't believe that describes most villains. The hero always wants to leave an option open for the bad guy to become one of the good guys. So, while the villain uses deadly force, with the intent to kill, the good-guy is always trying to not quite foreclose future redemption.
Take a look at TvTropes page one 'Heel Face Turn' to see many, many examples of the villain becoming a good guy. This is why bad guys keep their phasers on kill, and the good guys keep them on stun.
(That being said, it's also common for lesser evils to be 'clearly unredeemable' and thus fair game for instant slaughtering; commonly done with zombies, demons, etc. But they don't tend to be the 'villain', but just a tool the villain uses.)