Warning: contains spoilers for Thor & Loki: Double Trouble #3!
While he first appeared as a villain, Loki has since become more of a misunderstood rogue, pursuing a heroic agenda through underhanded means. But there will always be a place for a truly diabolical God of Mischief in Marvel Comics, and Lady Loki fits the bill. This isn't the first that readers have seen a female version of the God of Mischief, as this is a form that Loki took back in the Thor run of 2008. Lady Loki was created when Loki took over the human body meant for Lady Sif after the events of Ragnarok, hoping for a fresh start.
Canonically, this wasn't the first time Loki took a female form, and his gender fluidity has since become a much more acknowledged part of the character, but as a God of Stories, Loki's different forms tend to retain the personality he had when he adopted them. This has resulted in multiple personae who all offer their own spin on Loki's core drives, including the classic villainous Loki, the roguish Ikol, the innocent Kid Loki, and the diabolical Lady Loki. Of course, this being comics, sometimes these different versions of Loki take on a life of their own.
Lady Loki is featured in the final panel of Thor & Loki: Double Trouble #3 by Mariko Tamaki, Gurihiru, and VC's Ariana Maher, and she very clearly states that she is about to have fun. In her possession is the magical sphere that the male version of Loki stole from Odin's vault - the very same one that opened up a portal that dropped the Asgardian brothers into a mysterious void, and the reason they ended up in this new timeline where Jane Foster, not Thor Odinson, is Thor. It seems Loki misplaced it while falling, and there is no telling what the more evil Lady Loki will do with it, but chances are it may be fun for her, but not so much for Thor and Loki.
It is widely speculated that Lady Loki will be making her debut in the Marvel Cinematic Universe in the Disney+ show Loki, which is coming in June, and this could be Marvel Comics' way of officially introducing her as a standalone character. Now wielding a device which allows travel between dimensions, it wouldn't take much effort to transport Lady Loki to the mainstream Earth-616 reality, where she could become a villain in her own right.
At the same time, Thor & Loki: Double Trouble is aimed at a younger audience, so it may just be that Marvel is allowing the villain a chance to sow mischief and chaos across multiple dimensions while she has the spotlight. Either way, her story will continue in Thor & Loki: Double Trouble #4, and fans can look forward to seeing the scheming, black-hearted villain Loki used to be before his more conflicted, semi-heroic modern-day depiction.