Need a scary and ominous sounding name? End it in "th".
For some reason this trope seems to be quite common in English-speaking fiction. Maybe it's because Names Ending In Th sound mysteriously ancient (due to this trope's prominence in some Ancient Dead Languages: e.g., in The Bible) or ominously foreign, maybe it's the sinister hissing sound itself... Whatever may be the case, Names Ending In Th is a sure-fire way to let your audience know: this person/place/artifact is to be feared.
It's usually used to denote:
something so ancient it sends chills down your spine;
Bokurano: The kids who pilot it didn't intend to give it scary name, but considering the context of the story, Zearth fits this trope to a T especially if you're not from the main characters' universe.
Shuma-Gorath, an Eldritch Abomination and a recurring foe of the good doctor. The name "Shuma-Gorath" actually appeared first in a Robert E. Howard story, where it was mentioned by a magician called Rotath.
Yandroth, a powerful malevolent alien scientist-wizard.
Asenath Waite, from The Thing On The Doorstep. She's perhaps the only human in Lovecraft's works who got a Name Ending In Th... and that says a lot.
Azathoth, the Blind Idiot God. A gigantic Eldritch Abomination, that once was a demiurge, but nowadays just dwells somewhere in deep space listening to music.
Innsmouth, the titular place from Shadow Over Innsmouth. Even though the name is English in origin, the "th" at the end hints that something is fishy about this place...
Kadath, from The Dream Quest Of Unknown Kadath. It's the last dwelling of the gods, inaccessible to mere mortals.
Sarnath, from The Doom That Came To Sarnath. A forgotten ancient city, that, well...
Shoggoth, a type of creatures looking like a giant formless puddle of black goo with a lot of eyes.
Shub-Niggurath, the Black Goat with a Thousand Young. One of the most well-known Great Old Ones.
Yith. Home planet of The Great Race of Yith, a powerful alien race capable of swapping minds with creatures of another eras.
Yog-Sothoth, aka the Key and the Gate, and The All-in-One and the One-in-All. A powerful cosmic Eldritch Abomination who looks like "a congeries of iridescent globes" that is essentially an embodiment of... well.. everything. As in, all of space and time and the entire multiverse.
Yog-Sothoth and Azathoth even have an additional "th" in the middle!
Other names with a "th" in the middle (but not at the end) include Ithaqua, Nyarlathotep.... and of course, Cthulhu.
Yuggoth, aka planet Pluto. But it's more terrifying than it sounds, since in Lovecraft's works Yuggoth is inhabited by all kinds of Eldritch Abominations.
Yob Sodoth (a parody of Yog Sothoth), mentioned in Pyramids.
Bel-Shamharoth, the Sender of Eight, an Eldritch Abomination mentioned in some of the early Rincewind books, and giving passing mention to his cultists "The Young Men's Reformed Cultists Of Bel-Shamharoth Association", a parody of the YMCA, in some of the Death books.
A partial aversion. All dragon names end in "th". While their fearsome appearance has been used to intimidate on at least one occasion, Pernese dragons are depicted as generally friendly and would never knowingly harm a human. (Except at hatching, and that's usually due to unfamiliarity on the part of at least one of the involved parties.)
Mord-Sith, an all-female order of inhumanly sadistic torturers. (Gaelic for Death Faerie, slightly less terrifying to those who don't know anything about Gaelic or Celtic mythology, ten times as horrifying to those who do.)
Sith (pronounced shee) is Gaelic for fairy (being derived from Sidhe). Not to say that you shouldn't run away real fast, as Sidhe are known for being cruel pranksters and kidnapping people and livestock.
The Bible and related sources have a lot of this; the reason for this is that many Hebrew words end in the letter tav, as it is a marker for feminine gender (both in the singular and in the plural form -ot). The -ot version is particularly common, thanks to the pluralis excellentiae, i.e. "calling the singular thing plural to emphasize how awesome/terrible (classical sense) it is".note Examples: Behemot="Wild Beasts"="One wild beast"; Elohim="gods"=God Almighty Himself, trying not to piss him off by saying His name. In Biblical Hebrew, final tav was pronounced -th, which morphed to -s in Ashkenazi and -t in many Sephardi/Mizrahi dialects (which eventually became the model for Standard Hebrew).
Demon names, which include Astaroth, Balberith, Berith, Bileth, Lilith and Obizoth.
Goliath, a Philistine champion of Gath and all-around badass "whose height was six cubits and a span". During a war he issued a challenge to his enemies: King Saul and the armies of Israel, and he instilled fear in all of them.
Behemoth, a monstrous creature mentioned in the book of Job.
The Qliphoth, evil beings from Jewish teachings (e.g. the Kabbalah). They include the Gamchicoth (Devourers) and Nehemoth (Whisperers).
Alchemical and occult sources:
Azoth, a mysterious substance sought by some alchemists. Aleister Crowley mentioned it in some of his works.
Seth (or Set), an evil chaos god and the murderer of Osiris.
Thoth, the god of knowledge and the moon. His name consists of nothing but 2 "th"s separated by a vowel, and his head was that of an Ibis (which most people won't recognize and is only one letter away from Iblis).
Neith, a goddess of warfare, hunting, and weaving (in fact, her name means "weaver"). She eventually also came to be considered a goddess of creation.
Lolth (aka Lloth), the Demon Queen of Spiders, an evil goddess worshipped by drow.
Marilith (aka Type V demon). Notable mariliths include Lillianth, Unhath and Viractuth. Other types of demons include alkilith, artaaglith, bebilith, ferrolith, immolith, jarilith, lycosidilith, obyrith, solamith, wastrilith
Morkoth, evil sub aquatic aberrations.
Yugoloth (aka Daemons). Subtypes include: altraloth, arcanoloth, baernaloth, canoloth, charonaloth, dergholoth, echinoloth, gacholoth, hydroloth, marraenoloth, mezzoloth, nycaloth, piscoloth, skeroloth, ultroloth, yagnoloth, and a subgroup called battleloth. The yugoloth leader is called an Oinoloth. One notable yugoloth (an arcanoloth, to be exact) is named Helekanalaith.
Some monsters that aren't particularly scary: koalinth, kapoacinth, quaggoth.
Some of the nobility of Hell were given the names of demons from Jewish/Christian/occult sources (see Mythology / Religion).
Deities from the Forgotten Realms setting, including Azuth (god of magic), Gargauth (god of betrayal and cruelty), Lolth (see above), Kossuth (god of elemental fire). Also, Eldath (goddess of quiet places).
Garamoth/Galamoth, the Lord of Space, a terrifying dinosaur-like creature. It first appeared as the final boss in a parody spin-off, Kid Dracula. However, in Castlevania: Symphony of the Night, Galamoth was reimagined as a giant horrible monster.
Lossoth, though deriving its name from a non-frightening icy land in J. R. R. Tolkien's books, is a rather powerful demon in Castlevania.
The geth, a race of artificial creatures with a network mind who have successfully rebelled against their creators. They're secretive and very alien, but not outright evil and terrifying, so this may be a partial aversion.
Or perhaps you should ask the mammoths about said ancestors—they were probably more scared of humans than the other way around, given that we snacked on them to the point of extinction.
Coelacanth looks pretty terrifying, too. It's actually your closest relative among the fish (with the lungfish), and fairly harmless.
Some English words like "death", "wrath", "math", etc.
The Goths, while a rather ordinary European barbarian tribe, gave their name to some art styles traditionally associated with something scary: e.g., gothic architecture, gothic script, and gothic literature (and a certain youth subculture).
Methamphetamine (meth), one of the world's most addictive and dangerous drugs.