The Phyrexians in the books are absolutely terrifying, having a disturbing fixation on perfection, and in some books, you see events through a Phyrexian's eyes. And in one case, you see a complete metamorphosis in perspective. Mind Rape through Body Horror and cybernetics eating your soul. There is the oh so subtle hinting in Planeswalker and Time Stream that anyone you know or love might just be a Sleeper who is waiting to call on the Negators. Their appearance and fighting style lends heavily toward implanted weapons and other nasty things. They look like mishmashes of mummies and magitek. And any Sleeper can call on them. And some of said Sleepers don't even know they are one until a voice starts up in their head. In New Phyrexia, the Negators got worse.
Crovax. He's a vampire who fell in love with an artificially created angel. He joined the Weatherlight crew to try and find said angel, who had kidnapped his parents, and ends up killing her, setting off the madness he has up to this point supressed. He ends up taking over the hellhole that is Rath, but not before killing another Weatherlight crew member (Mirri) and breaking Ertai utterly. When Tsabo Tavoc encounters him after the Overlay, she finds him having a tea party with the skeletons of his dead parents; he's even providing voices for them, talking about how they would have let him kill them a long time ago if they knew what he would become. Oh yeah, he ends up tearing her to pieces and eating her, just so no one else can gain her power/intelligence/etc. He has an organ that uses living creatures as the pipes, just in case the rest wasn't bad enough. While it was suggested that he was redeemed after he died, it doesn't seem like he really deserved it.
He was a good guy in the alternate timeline presented in Planar Chaos, but that required Mirri to inherit the vampirism and insanity that made him the monster he was. Some of the flavor texts suggest that she was actually worse than he was; we do know for sure that she exterminated the mogg goblins, and she made something to fill their place. Fun times . . .
"The transformation process is harrowing for the lycanthrope and incredibly disturbing to any witnesses. The eyes change first, the whites darkening and the iris filling with color. The claws go next; the hands elongate, knifelike claws extend from the fingertips, and the thumb forms a claw back near the wrist. The muzzle thrusts forward out of the human's skull, and the teeth jut through the gums in sharp points. Bones crack as they rearrange. Marrow spills into the bloodstream as ribs and skull fracture and telescope. Thick, wiry fur pushes through the skin, often pushing out normal human hair. The tailbone elongates and becomes a shaggy wolf's tail. Metabolism speeds up, increasing blood flow, oxygen flow, and glandular production, creating cravings for protein and fat. Any clothing that was worn at the time of the change is generally torn to shreds and falls away. If a werewolf dies in beast form, it changes back to human form, a process called death reversion."
In addition, the Leeraug pack appearently specialised in killing children. Thankfully, they probably are gone or made into Wolfir after Avacyn returned, but still...
From the magic 2012 expansion; "Deathmark" Is very subtle but full of Eye Scream. One can only imagine what horror's would make your very pupil leak out of your eye.
The 2012 Core Set edition of Distress covers its share of creepiness as well.
Eldrazi can be rather eerie. Particularly the biggest one - Emrakul, if you look at her art closely. She looks like a titanic mushroom or mold thing from Dali's nightmares with a nest of swarming tentacles at the bottom, but the creepiest thing is that some of those tentacles are actually hands and fingers, twisted into unspeakable shapes.