How to make a bad guy really challenging?

If it's one BBEG against all your players, you are always going to have trouble. I usually throw a bunch of small enemies along with the big guy. It has the same affect of making the players defy danger before they get to attack.

What demon isn't going to have a bunch of minions around to do his bidding. What is a vampire lord without his thralls.

As Eon advises, state the consequences and ask all the time with badarses. This reveals, piece by piece, the enormity of the antagonist they are facing. It ratchets the tension soooo good.
I also like to 'ramp up' an enemy that is hard to engage fictionally, not just with the monster moves, but with modifying the base moves too.
One of my favourites is:  'yeah, you manage trade a few blows and realise this guy is GOOD. In order to deal more than just stun damage you are going to need to roll a 10-12, a 7-9 just won't do. On a 13+ you'll hit a little harder. Still want to try and engage in melee?'
This tends to rally the players as the others try and fictionally help in order to throw a +1 the fighter's way. Or look for alternatives to Hack 'n Slash to overcome their adversary. Makes for great little narrative 'hooks' for the combat too, encouraging the spotlight to shift constantly.

I know I've said it before, but when you are dealing with the big bosses, (or anyone really), think of HP as 'mistake potential' rather than just 'health'.

Yeah, Noofy, those are great ways to present it. I think it's easy to slip into, like, videogame mode where the 'boss's ie harder simply because he's the boss. It really pays off to say "why is this monster in charge? What makes it so feared and powerful? If this were a novel or movie, how would I impart these fearsome qualities?"

So you're presenting all this info about the monster's strengths, and you're presenting it in ways that the characters might experience it. You know how like in d&d a swordsman can be a lowly lvl1 guard with 5hp, or he could be an elite npc with 100hp and a massive attack bonus... but there's no way to tell because they both look the same? That's because toughness is solely reflected in the numbers of an npc. Here, the numbers are sparse and you gotta rely on description alone. Luckily, that description is given serious weight in DW and means all the difference between what moves get triggered and when.

You've seen the 16hp Dragon right?

I read it and it is an amazing description.  I've often felt very strongly that Dragons should not be used like other monsters.  My question is in the Dragon's case, what's stopping the players from attempting a Hack n' Slash?  Is it because swords are toothpick sized for a dragon and it doesn't trigger a Hack n' slash?  Iron scales thick as a man's arm?  Where does the dragon's breath say in the stats that failure is death? 

I suppose my real question is, with monsters in Dungeon World, is it basically just what you think it should be as the DM?  If players are trying to run up and stab a Dragon D&D fashion it doesn't make sense that it would actually harm the Dragon so it is not Hack n' Slash? 

Let's say one of them comes up with an idea to use one of the catapults on the castle wall to bombard the Dragon from afar.  If a catapult does lots of damage (Say b(2d10)+10 or something) and they roll above a 10 on that roll, is the Dragon toast?

Yes, if the weapon is of no threat to the dragon(as in mundane weapons), then no H & S is triggered. They just swing their weapon, it clangs off of the dragon like a knife on an armored tank.(that's only if the dragon has a trait that gives it such, "inch thick metal hide" for example. Which the normal dragon doesn't have, but the apocalypse dragon does. So maybe the larger dragons. Or a special dragon devised by the DM. Or if DM decides, all dragons in his setting.

I don't remember seeing in any stat blocks where the breath attack kills instantly. It's more likely a descriptive narrative by the DM. They breath the elements. So if they breath fire, make things and people catch fire(after defy danger of course).

The DM, not the stat block created by the authors, decide what the creatures in their games can do. But you should describe it in your stat block. Maybe some dragons have supple scales and normal weapons can hurt them, but the are fast and agile. Others are like tanks. It's really up to the DM.

I personally think a catapult would be sufficient to damage a dragon, but the dragon still gets armor. And that would be an awefully stupid dragon to just sit there and let a slow cumbersome catapult hit them.

my 2 cents anyway.