Dragon Empress and other Big Bads

Not all campaigns have them, but many do, the biggest of Big Bads: Dark Gods, Lich Kings, Embodiments of Primal Chaos, and other such insanely powerful beings.  You know the archetype.  His dark shadow lies across the land, the armies of the light arm to fight him, the common people quake in fear and  even heroes make signs of warding against his name . . . and the player characters want to fight him?  How do you cope with players wanting to take down beings of such power?