This is an old rumor that has gone through a lot of twists and turns. There was never any "final" plan for a Villians/Thrill park so a lot of different rumors can all end up being equally "true".
It goes back to when Universal Studios was building Islands of Adventure. The park was designed to target teenagers and young adults - a weak spot in Disney's marketing. Univeral was also pouring in lots of money into the park, far more than Disney had spent on their Disney/MGM Studios, and it was designed with scores of ex-Disney Imagineers (all victims of the post- Euro Disney slaughter).
Disney considered it a serious threat. Since the opening of EPCOT Center in the early 1980s, Disney's markjeting plan had been to keep guests on property. Suddenly, here was a big reason for people to leave - and teenagers will drag along their younger siblings and their parents as well.
So plans were developed to keep the guests locked on property by directly going after the teenage market. One of the plans was to pave over the backlot at the Disney/MGM Studios and bring in several cheap, catalog-bought thrill rides - a large rollercoaster, spinners, sky shots, all the kind of stuff that Islands of Adventure has. One of the themes proposed (and the only one that got any kind of support) was "Disney Villians". At the time there was a semi-successful merchandise line based around them, and they would make for good, cheap decorations for the carnival rides.
A similar proposal would have created a "mini-park" with the same rides near Downtown Disney - which needed a financial boost as well. But as far as anyone can really tell, there were no serious plans for a Studio/DCA/Animal Kingdom sized park based around villians.
In any case, Islands of Adventure opened to very bad attendance levels and the challenge to Disney never really materialized. Plans for any kind of response were cancelled and the captial went to executive bonuses and other plans. The "villians" idea cropped up again when Disney decided to build a large thrill ride in the Magic Kingdom (which actually became 'Expedition: Everest', but that's another story). But the merchandise line has faded and corporate priorities have changed. 'Shadowland', 'Villians Lair' and all the other rumors will remain just blue sky ideas.
