I've made no secret of the fact that I don't think very highly of the current season of Doctor Who right now. The writing is very weak and full of plot holes. More than that, it's trying very hard to bring the Big Bad concept to Doctor Who and not really making it.
First a definition. The Big Bad comes from Buffy the Vampire Slayer, though of course the concept predates the show. Still, just as Eli Whitney perfected the cotton gin so did Buffy nail Big Badding for future shows.
Essentially what the Big Bad means is a season long antagonist that drives an overall story arc. It's been a staple of comics for ages, but in TV it can be much harder to pull off. Which brings us to the revived Doctor Who.
"But they've had Big Bads since day one!" you might be saying, and I can see why you'd think that but it's not really correct. Take for instance Season 1 and the whole "Bad Wolf" thing. Yes, there were constant hints dropped about the ending of the season, but the Big Bad wasn't the Bad Wolf (Ironically). The Big Bad was the Daleks, and the Bad Wolf was what defeated them.
Here's the basic formula for a Big Bad-style season. First, you have to create a new antagonist that challenges something essential about your hero. You can also have a Big Bad who is a traitorous friend, but to do that you still need to lay the seeds of the betrayal earlier on through foreshadowing.
You have to do that, and then you have to introduce them in a big way in the first or second episode. We don't need to know all their plans, but the audience should be able to get a sense of what the adversary is and what they stand for.
Though you should keep peppering the season with hints or nods to the Big Bad, what you're really looking for is a battle somewhere in the middle where your hero suffers a loss. It's necessary to give the hero an extra bit of push to initiate the final act.
In general, it's also good to work in a deuteragonist. It's another foil to work off of and a chance to explore more than one side of a conflict. They can be reluctantly conscripted, playing both sides against each other for their own ends, or simply a loyal sidekick with their own well-establish character.
And finally, the big fight at the end. This is usually the only part that Doctor Who gets right.
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That's one of the problems with the revived Doctor Who and its finales. With the exception of Season 6 every single finale has hinged on established enemies. Daleks, Daleks/Cybermen, The Master, Davros/Daleks, a coalition of Daleks/Cybermen/Sontarans/etc., and The Great Intelligence. Only Season 6 created a new antagonist and followed the proper format.
Season 6 started off with a two-parter introducing the Silence, which was plenty of time to get a basic handle on what they are and why the hell we should be frightened of them. Then we were treated to a grand fight and plot forwarding with "A Good Man Goes to War" and "Let's Kill Hitler". Finally, it all comes to a head in "The Wedding of River Song". There's a good five-episode block of the main story with plenty of other episodes around it to keep things spicy and interesting to many different people. All in all, a perfect Big Bad.
Now, to be fair, I don't think that the Eccleston/Tennant years were trying to have Big Bad arcs at all. Russell T Davies came into Doctor Who from writing New Adventure novels. He understood letting writers have their own take on the franchise, and the basic, episodic nature of Doctor Who. He made some great throughlines, but only Season 4 ever approached a Big Bad format and really only very loosely.
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It's clear, though, that four season into his showrunnership, that Steven Moffat does want to write Big Bad-style seasons. He's tried it every time, but only Season 6 pulled it off. Mostly because you can't actually call a crack in a wall a bad guy. The Great Intelligence was better, but The Doctor didn't really know he was nemesissing him until the end. Otherwise there was just a hint in "Bells of St. John".
Same thing right now with Missy and the Promised Land. The Doctor has no idea that there even is a Missy, which means that essentially we're being teased for a big payoff without all that pesky character development. We're not being given any reason to care about Missy one way or the other. She's just a weird thing that happens after the main story.
I think the problem is that Steven Moffat wants to show us epic wars with The Doctor as Gandalf or something, but he's forgotten that wars have factions and skirmishes and catalysts. You can follow every twist in Game of Thrones through their logical progressions from a well-founded cast.
But right now the questions that seem to always come at the end of an episode are "what the hell is going on?" and "why?" That's because if you want to play the Big Bad game, you've got to pay attention to how it's done.