I like that escapism too, but I don’t get as much satisfaction from defeating a cliched and unrealistic villain. What I really want is to see a really believable story of how a villain like the one I described can actually be beaten, before it gets to the point of becoming unbeatable. The Next Gen episode “The Best of Both Worlds” shows a version of the Borg which isn’t really trying yet, because the heroes are so far below their level that the Borg only send a single ship to try and take out the entire Federation of Planets, and it almost succeeds. So the heroes manage an impossible victory against a foe that’s way above their level (the equivalent of a level 1 D&D character who kills a full-sized dragon with a single lucky critical hit)…and then a sense of incredible dread sets in, with the realization that something far worse is inevitably coming. Which sets up the movie “First Contact”, and that too is amazing (though not quite better than “Both Worlds”).
One example of how this can be handled is to have Our Hero time-travel forward into that future, see how awful and hopeless it is, and then come back to our time with a desperate mission to ensure it never happens. The X-Men’s “Days of Future Past” storyline is a great example. The future it portrays is very bleak, and it’s mostly pretty realistic; instead of Magneto’s “Brotherhood of Evil Mutants” (I have a lot to say about that name, but I’ll save the tangent for another time), we get a world where ordinary people have used a bit of fairly mundane technology to get the upper hand against the mutants and wipe them out with cold efficiency, and then back in our time, the X-Men have to figure out how to ensure that never happens. While a lot of soap-opera diversions get in the way of that story playing out really well (the boiled-down version in the fifth X-Men movie is a huge improvement since it lacks these sidetracks, and that movie is my favorite of the entire franchise), the core aspect of that story really encapsulates what I’m talking about here.
There is that concern, for sure; everybody subjectively has their own line between “wow, this show kills a main character in season 1, this is so thrilling and high-stakes and I’m so invested”, versus “there’s no point in getting attached to everyone because they’re obviously all going to die”. Personally, I’m a little more toward the end of enjoying the former enough that I can tolerate the latter, even though I also tend toward the desire to miraculously resurrect those killed-off characters (but in a way that doesn’t cheapen death too much, which is another problem comics in general have).