The Lich - Our main antagonist is quite well right now. In the final, a thousand years after the Great Gum War, we see Sweet P as a great hero, so I assume that the Lich simply decided that he would wait until the hero dies himself, and then, without any mind holding him locked up, he will return.
And of course, one should not forget about the hands of farmoworld Lich that is now in the entire multiverse. The multiverse is an infinite number of diminsions so Lich's hand will be revived in every new dimension. The Lich has achieved eternal existence.
GOLB - When GOLB and Betty merged into one entity, the threat from GOLB ceased to exist. I assume that Goltty (I know that is stupid name xD) will still be embodiment of chaos, but will stop spreading it.
Orgalorg/Gunter/Ice Thing - I think that the finale showed exactly that Orglaorg ceased to exist. When Gunter laid the Ice Crown on himself, he turned into Ice Thing who became the ruler of the Ice Kingdom.
Gumbald - In my opinion, Gumbald endeed most pitiful from all the villains. After eight hundred years, he finally got his chance for revenge, built a powerful city-state and was near to taking power in all of Ooo. Eventually, he was again changed into a punch bowl.