There are quite a few ways to spin this, depending on how you want to play the NPC over the story arc.
Give them a taste
In on of their initial adventures, throw in a little vignette with the BBG (Big Bad Guy) to where they get shown his awesomeness, and maybe sting them a little to foster the "Oh yeah, we're gonna come for you one day" feeling among the party. If you want to sweeten it, show them some great loot that the BBG was there to get.
Send a message
BBG's have ego's. (It says so in all the books). They just can't resist monologuing and sending warnings. Towards the end of a crawl, or during the hero's triumphant return to their city, have the BBG show up and wreak a little havoc, or intercept them in a quiet place and have the party be tagged to deliver a warning to the king/mayor/whoever that is in charge.
Plant a rumor of great treasure, or in one of the adventures stick in a tattered history book that confirms the legend of an awesome evil just out there waiting. If you combine this with a prophecy about "the coming darkness" or similar, it will give them impetus to eventually take on the BBG.
Win some, lose some
Once you've introduced the BBG, have them pop up at odd times, either just before they get a key piece of the puzzle, or just after. If the BBG is always foiling them, it gets discouraging, but if they win a few or foil a few plans along the way, then they will be encouraged to do more and try harder to take them out.
As an example, in the world I recently created, part of the most current history is that one of the great adventurers has gone missing. Towards the end of the first crawl, I plan on having a greater lich be just about to depart with the unconscious body of the hero. Witty banter and repartee will follow, with the lich tagging the party with a Geas/Quest (Pathfinder) to deliver a warning message to the ruling council.
Remember, the party wants to have a greater goal, and be part of something grand. Give them any reason, and they will take it and run with it.