After the Hawkins team develops a plan to defeat Vecna, Nancy is in charge to blow his head up with a shotgun. However, either she didn't have a great aim or she was trying to play it safe because she didn't hit him in the face even once, and that may be the reason why Vecna is still alive.
While his usual strategy is to mimic his victims' self-deprecating thoughts (again, a very real psychological phenomenon), this time he is telling Nancy his plans and then releasing her so she can inform everyone—including Eleven—that the end is near, with the intention of demoralising and disempowering them.
However, Nancy is freed by Vecna within the first five minutes of volume 2, with instructions for her to tell Eleven what he has planned for Hawkins. Nancy wakes up to see Steve and is never affected by the curse again, despite Max Mayfield (Sadie Sink) escaping Vecna only to again be attacked by him later on.
When recounting what Vecna has shown her, Nancy specifically mentions a "giant creature with a gaping mouth," the implication of which can't be underestimated.
Gradually, we learn that this isn't the whole story. In Episode 7, Nancy is possessed by Vecna while attempting to flee the Upside Down with Eddie, Robin, and Steve. Vecna shows her a vision of the past, as a young Henry takes a turn for both the supernatural and sadistic.
Vecna, who absorbs beings' consciousnesses and resultantly feeds off their power, knew he had stumbled upon exactly what he needed to exact his revenge on the world: I saw so many things, then one day I found the most extraordinary thing of all. Something that would change everything.
Fred Benson
Like Chrissy, Fred has a darkness in his life that Vecna uses against him. He was responsible for a fatal car accident and begins to see and hear visions that drive him into guilt. When Nancy goes traversing off to do her thing, Fred is lured to a nearby road.
While intending to get his revenge on Eleven and Brenner, Vecna also goes after victims who have dealt with traumatizing experiences in the past (reminiscent of his childhood and his time at the Hawkins lab).
Inside Vecna's realm, he preyed on Nancy's guilt over Barb's death. But Nancy didn't only see horrifying images from her past — she also saw glimpses of Vecna's past, which is how she learned he's Henry Creel.
Instead of fleeing again, as he did in previous instances of danger, this time Eddie stands his ground and fights. It's his last heroic act. Though Eddie manages to occupy the Demobats until the battle is over, he succumbs to his wounds. He dies in Dustin's arms in the Upside Down, and his body is never recovered.
Through the window, Max saw her real body levitating above the cemetery, her friends panicking on the ground below. Bracing herself, Max pulled at a vine in Vecna's neck, causing him to writhe in pain and accidentally release her from the vines' grasp.
Realizing he had tremendous psychic power, he haunted his family with visions before ultimately killing most of them. His father was framed for the murders and locked away in a mental hospital as a disturbed serial killer. Henry then found himself in the care of Brenner, who decided he wanted more kids like the boy.
Eleven has a memory during this episode and realizes that 001/Henry Creel (Jamie Campbell Bower) wants her to join him on his evil journey, and she banished him to the Upside Down. 001 then transformed into Vecna, the horrifying Stranger Things villain.
And while his usual modus operandi is to embody his victims' negative self-talk (another very real psychological phenomenon), this time he is telling Nancy his plans and then releasing her so she can report back to everybody—Eleven included—that the end is nigh, with the goal of discouraging and disempowering them.
All those years ago, he felt a connection to Eleven because of their shared abilities and the pain that they had both endured at the hands of Dr. Brenner.
We still don't know why Vecna waited seven years after being banished to the Upside Down before starting his murderous rampage. At this point, I'm not sure we ever will. However, it's not like Vecna was twiddling his tentacle-y thumbs for seven years.
The theory predicts that Vecna wants to regain his human form, and he will use Will to do so in Season 5. Knowing that Vecna singled out Will in Season 1, it's a reasonable theory, but it might go too far. After all, Vecna already has a human form, and he has vowed to eliminate humanity.
If Vecna can overwhelm their victim with fear, and keep them from resisting, their fate is almost certainly sealed. In the real world, he makes the victim levitate while in their trance, before snapping their bones and neck, and crushing their eyes.
Vecna's obsession with time appears to be linked to his hatred of humanity. He views time as a human imposition on the natural world; an attempt to impose order on nature.
When One massacres the rest of the children in Hawkins Lab, Eleven banishes him to the Upside Down in the same way she banishes the Demogorgon from season one. One is sent hurtling through the Mind Flayer's lightning and is horribly disfigured, transforming into Vecna.
As Vecna, he uses these mental abilities as a way to psychologically weaken and lure in his victims – much in a way that Pennywise, Freddie Kruger, and Pinhead do. (All of which have been cited by show creators the Duffer brothers as inspirations for the villain.) But he does have a surprising weakness: music.
What was Chrissy's Trauma? Chrissy's life appears to be free from flaws on the surface, but in reality, she is struggling terribly to conceal her depression and self-image stemming. She was struggling with these issues, which resulted in her developing an eating disorder due to her mother's verbally abusive comments.
Using past traumas to break down his victims, Vecna brought Nancy to the pool where Barb was killed by the Demogorgon and revealed her mangled corpse. Vecna then taunted Nancy with her own feelings of guilt - that she was responsible for Barb's death and had forgotten about her.
Then there were the three poor teens of Season 4. Vecna's first big credited kill was Chrissy Cunningham (Grace Van Dien).