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Here's a recent interview in which Billy Bob goes a little deeper than actors usually do into explaining his thought process and his concept of Malvo's motivations:
More at Billy Bob Thornton On Channeling Evil In FX’s ‘Fargo’|Deadline
Well, the only good guy he killed, that sheriff, was out of necessity. Malvo lives by the rules of the animal kingdom. He wasn’t looking to kill a good guy as much as, he’s in my way. Malvo knew that Lester was setting him up and he just had to get rid of people. Otherwise, the people he kills are creeps. That last scene with Gus, Malvo was severely wounded, and knew as soon as he got home who was waiting for him. Gus was something like his student, who was manipulated to let Malvo go early on. Malvo probably saw some decency and purity in Gus, and respected somebody true to himself. Lester, Sam Hess, all these other creeps, they’re not true to themselves. I think Malvo looked at Gus and said, “Good job. It’s my time. You figured it out. Good on you.” He wasn’t looking to go out in a blaze of glory.
More at Billy Bob Thornton On Channeling Evil In FX’s ‘Fargo’|Deadline