In general, if someone (or something) has -mono at the end of his or its name, you want to be somewhere that is not in their vicinity. Translation to English tend to be awkwardly structured, such as "That Which ___" or "The ___ One". Ninjas were originally called shinobi-no-mono, or that which endures (so he can get a chance in killing you in most unexpected situation, such as when you're going to the lavatory).
Doctor Strange has the Ancient One: the most powerful sorcerer of his generation — or any generation — for six hundred years.
Reckless, in which the most prominent fairies have names with colors in them: The Dark Fairy, who is (appropriately) the most direct antagonist and very very powerful, and Miranda the Red Fairy, Jacob's ex-girlfriend, who uses moths in her spells.
In The Dresden Files an enemy Harry Dresden, the hero, nicknamed "Sharkface" claims names such as Gatebreaker, Harbinger, Feargiver, and Hopeslayer.
The Reynard Cycle: The seven Demons are named The Ruiner, The Wanderer, Skindancer, The Hollow Maiden, Duskwalker, The Dreamer, and Stormbringer, The Demon King.
Angel: Quor'toth is a hell dimension that's so nasty there are no portals to it, cosmic holes have to be punched through to travel back and forth there. The natives of that realm are so terrified of one being there that they know it only by the name of "The Destroyer". When the gang learn it's on its way to Earth, there are several comments from characters commenting that anyone called that has to be someone you don't want to meet. It turns out to be Angel's kidnapped son, Connor.
In the AD&D 2nd EditionMonstrous Manual, the "Lich" entry states that many ancient liches have abandoned the names they had in life, and now go by pseudonyms like "The Black Hand" or "The Forgotten King."
BIONICLE: The Shadowed One, ancient and feared leader of the Dark Hunters.
BlazBlue: It's advisable to stay well clear of anyone referring to themselves as "The White Void", "The Just Sword" and "The Cold Steel". It's also advisable to run for your dear life away from anyone who's referred to as "The True Evil" by an Omnicidal Robot Girl.
Kingdom Hearts: Birth by Sleep — The Mysterious Figure (The Unknown in Japan, which is just as bad if not worse). There's also The Iron Imprisoner, The Infernal Engine, the titles of all Organization XIII members are phrased in this manner, The Armored Controller (one of Xemnas' forms), and The Lingering Will.
Devil Survivor 2 has the Anguished One, who in turn refers to the main character as the Shining One.
Borderlands 2 has Terramorphous, Vermivorous, Pete, Hyperius and several others. All of them are "The Invincible", which means that these guys should NOT be taken on alone if you don't know what you're doing: they're raid bosses, intended to be fought by several high-level players at once and with a strategy to back them up.
At the end of Legaia II: Duel Saga, after fusing with his Supreme Origin, Igohl, Avalon becomes known simply as the Infinite One.
In Ancient Greece, certain soldier types were referred to in this way. Heavy infantrymen were known as "hoplites", which is most accurately translated "the equipped ones".
Byzantine heavy cavalrymen were called "kataphraktoi" - "the armoured ones".
According to Herodotus' Histories, the Persian army had "The Immortals", an troop of ten thousand elite soldiers named so because as soon as one man died or retired, he was replaced.
Ivan the Terrible. He was a good ruler early on, defeating many enemies of the Russians, earning him the nickname which could also be translated as "formidable" or "fearsome". Later on, he became The Caligula, making his name scary but appropriate on a whole different way.