As it periodically does, my mind drifts back to Ravenloft, D&D's horror-themed setting. It's one of, if not the most unique setting for the game (the only other I can think that competes is Planescape). The setting is also built with a kind of inherent object in mind - how do you escape your current domain? While it's truly the DM's call whether you can escape the setting as a whole, as escaping one domain might just deposit you in another, there's actually a pretty solid mechanical hook here: each domain is ruled over by a Darklord, and by will alone, that individual can close off the borders of the domain, preventing anyone from escaping.
Thus, a confrontation with a domain's Darklord is the most obvious objective - if you kill them, you have a brief window to escape before they come back. Now, you need not kill them to accomplish this - Darklords are evil, but they aren't inevitably antagonistic. A Darklord might agree to open the borders of their domain if the party does something for them, and depending on the campaign or adventure, the borders might not be closed in the first place.
Darklords are, classically, powerful monsters of some sort - the most famous, of course, is Strahd von Zarovich, who is canonically the first vampire in the D&D multiverse, and also the first Darklord within the Mists. There's also Azalin the Lich, whose current status is a little mysterious (though Van Richten's has some pretty clear clues hiding in plain sight as to where he's at now).
But not all of them are such powerful beings. In fact, a fair number of them are downright weak. Van Richten's presents its Darklords as having statistics "similar to" various stat blocks in the monster manual, except in the rare cases where the monster is in Van Richten's itself (which, to my memory, might only be Harkon Lukas, who is a Loup-Garou, which is an extra-powerful werewolf - Loup-Garou is actually just the French name for werewolf).
That presents us with an interesting challenge as DMs. Some Darklords are particularly low-CR, like Ivan Dilisnya, who is a Noble - a CR 1/8 creature that would be cannon fodder even for a 1st level character.
Now, in terms of realism, this kind of makes sense, actually - these stat blocks are meant to represent real people, and as Brennan Lee Mulligan so eloquently stated in Fantasy High Sophomore Year, it turns out that for most people, if you stab them with a sword, they die. Adventurers are notable both for their ability to slay dangerous monsters and also their ability to endure the attacks of such creatures.
Now, each of these is technically a suggestion of a stat block, rather than giving you a specific one. The stat blocks for Srahd in both Curse of Strahd and Vecna: Eve of Ruin are not quite the same as the Monster Manual's Vampire stats, but Van Richten's presents this as the most obvious one to use (and given that Strahd is D&D's quintessential vampire, we can largely treat that one as a totally appropriate stat block for him - especially the 2024 one).
2024's Monster Manual also gave us many more high-level humanoid NPC stat blocks - while Ivana Boritsi, the co-Darklord of Borca with Ivan, uses a Spy stat block, we could imagine using a Spy Master (or Assassin, frankly) stat block instead.
But I do think we need to really consider how to play these characters if they are just those low-CR stat blocks.
First off, if we're expecting to largely have social rather than combat encounters with them, their HP isn't much of a concern. And while they might have poor, say, Insight or Perception bonuses, this might actually just mean the players have the ability to talk around them or more easily pickpocket them.
In other words, don't exclusively build adventures around Darklords that require them to be all that challenging. It's all right for the players to get one over on them. Because the one thing Darklords will never run out of is time - their domains always revert to the way they were, and the Darklords have time for vengeance.
Social encounters are, of course, also something that DMs have a lot of leeway to interpret and run as they will. If players choose a particular tack that isn't logical, no Persuasion or Deception or Intimidation check is going to force the Darklord to act the way that they want.
Now, what about keeping the party trapped? If you want to ensure that there is a challenge in getting out of a Domain, but the players understand that killing a Darklord allows for this, what might you do?
Well, the first is that Ravenloft works on nightmare logic - did you really kill the Darklord? And did their death actually cause the Mists to open? One of the classic tropes of horror movies (especially slashers) is when the villain seems to be dead, but isn't.
Another thing to do is just to make it hard to get to the Darklord. Viktra Mordenheim, the sort of Frankenstein equivalent, is of course famous for her creation of Flesh Golems. Yes, a CR 1 Spy is not too tough for any party, but you surround her with an army of constructs (maybe re-skinning other types of golems as Flesh golems) and now you've got a real challenge.
Finally, if you really want to build to a big boss fight, there's always the possibility of a transformation. It might be that if you slay the Darklord in their default form, like Mother Lorinda, who is a Green Hag, maybe she comes back as something far, far deadlier (the Arch-Hag from the new Monster Manual would be a profoundly terrifying jump in power). Naturally, some Darklords are already quite scary, legendary monsters in their own right - Strahd being a Vampire (I could also see him being a Vampire Umbral Lord) and Anktepot as a Mummy Lord.
One thing to seriously consider is whether the player characters actually know who the Darklord is. Meta-knowledge here can be a bit of a problem, and even just general knowledge of how Ravenloft as a setting works, so a player might be able to tell that if the people of a Domain are always seemingly talking about this one individual, there's a good chance that they're the Darklord. That said, there can be red herrings - Lamordia (which is probably my favorite domain - I guess I'm just that into the whole steampunk aesthetic, even if I don't think I could name you an actual piece of media that is within that genre that I really care that much about) has as its Darklord the aforementioned Viktra Mordenheim, but the domain's legal ruler is Baron Aubrecker, a sometime rival, sometime collaborator with Mordenheim.
Indeed, Kartakas is a domain in which the anonymity of the Darklord, Harkon Lukas, is actually central to his torment - an artist and performer who is perpetually washed up, only able to shepherd others toward fame and fortune. Lukas is kind of an ideal Darklord to seem friendly and kind at first, but the lurking wolf within eventually makes itself known.
The Shadowfell, and especially Ravenloft, is very much about stagnation, which means that merely killing a Darklord isn't going to ever end their reign of terror. They always come back, and the world and the minds of its people conspire to paint over any inconsistencies.
Notably, Barovia plays the entire setting of Curse of Strahd and the location of one of the chapters in Vecna: Eve of Ruin, but there are full-on continuity errors - or, not errors, but intentional inconsistencies. In Curse of Strahd, the default level 1-3 intro adventure in The Death House (which is sort of a domain-within-a-domain in the village of Barovia) has you meet the ghosts of children named Rose and Thorn. When you arrive at the Death House in Eve of Ruin, Rose and Thorn are living children. That's very much intentional.
One reason to not take these suggested stat blocks so literally is that the Darklords themselves are probably inconsistent. For Jacqueline Renier, the Darklord of Richemulot (a domain that goes through cycles of plague that go from people dying of illness to maddened fever-dreams - possibly inspired by Werner Herzog's 1970s remake of Nosferatu) the obvious stat block for her is a wererat, it's all really about whatever stat block feels appropriate in the moment.
There are a number of cool monsters in Van Richten's that aren't explicitly used as any Darklord, but could be a form that they take at one time or another (I love the Relentless Killers, who are meant to embody 1980s slasher villains like Jason Vorhees or Michael Myers). Like Dracula in Francis Ford Coppola's version, even the quintessential vampire could take on many different forms (they do call him "The Devil Strahd," and so maybe he takes on the form of a Pit Lord at some point!)