Of course, that's the point, but usually you catch the bad guy at the end of the session. Sometimes you haven't taken everything into account (usually synergies of powers, but it could be that the players just out-think you, or--as happens to me--you just overlook something obvious like a little-used power and they don't, or something else) and the planned villain for the piece could go to jail in the first fifteen minutes, leaving you with a very early finish to the night.
As pointed out to me by Fred Hicks, if at all possible, you want to give them their victory: you want to say "yes" to this turn of events. The alternative, which I have used, is to hand each player a determination point or whatever your game uses as metagame currency, and go on as you originally planned. There are a couple of problems with that. First, it's not fair to the players. Second, it really encourages the "You lose until I say you win" kind of thinking that rules-light or narrative games can fall prey to (at least in my experience).
So the big bad guy is going to jail. First, let them savour their victory. Roleplay the news interviews while you figure out what you're going to do next.
There are a couple of possibilities at this point.
- The villain planned for getting caught, and he's on the street again in hours. This isn't bad, but you don't want to encourage the idea the players can't win in any way. The end result is that one or more of them decides that killing the bad guys is more permanent, and suddenly the light Bronze Age game you were playing is plunged deep into the Iron Age. And it depends on the villains, too: if the villain is a "leap before you look" kind, no one believes it. (However, if lawyers out of their snack bracket get them out of jail, the PCs know there's something up, and that can be the indication that you need that Someone Else is behind things.)
- The villain you just put away wasn't the real villain. This is a little more satisfying, if done right. How do you make it satisfying? Have an effect on the rest of the session. That effect can vary. Sometimes the effect is just that the PCs had a chance to be awesome. Maybe the rest of the story is soap opera dealing the consequences of that awesomeness: fame, fortune, whatever, for some team members, and dissatisfaction for others.
- The real villain learned more about the PCs so that he or she could execute the dastardly plan. If the PCs had to use a little-used power, that's a win. Specifically guard against it, and there you are. The real villain then launches the real plan.
- The plan called for the villain-in-jail to be in jail, either because the big villain has some kind of plan that they will enact in the jail, or because it gives them plausible deniability for the bigger crimes that are about to take place (until the PCs prove that the jail has a revolving door, or there's a link between the villain-in-jail and the villain-at-large).
Another thing you can do is turn the evening into a bunch of small encounters that build up the PCs' reputations. Then you can do something with that large reputation: either have them invited up to the next level ("The Avenging League is on the phone") or have them asked to help with a mission that looks like it's out of their range. (That would be the cliff-hanger where you say, "See you next week!")
And none of it involves saying, "You don't knock him out. Here's a Determination Point."