Most people today think of faeries as dainty little pixies who fly around granting wishes. However, the people of the Middle Ages feared the wrath of the Fair Folk, and few were more vile than the Nuckelavee. A formless specter living off the coast of Orkney, this foul faerie would rise from the depths of the ocean and take the form of a massive, skinless, black-blooded, yellow-veined, fin-footed, man-eating horse with its "rider" fused to its back from his waist down. The horse head had a single blazing red eye and a gaping mouth full of vicious teeth, while the "rider" had an oversized head that rolled about on its undersized neck, and long, muscular arms that ended with razor sharp claws. This monster was an Omnicidal Maniac of the highest order, rising from the sea to deliver a plague called the Mortasheen (yes, that's where Bogleech got the name for Mortasheen from) that would kill livestock and crops, and it reserved a special hatred for any unfortunate humans it came across. Its one consistent weakness was fresh water, which it could not cross (although some versions mention an aversion to burning seaweed).
What are urban legends but modern folk tales? As such, they fit in perfectly here.
The Chupacabra is the modern vampire, a beast of possibly alien origin who drains the blood from livestock, has supernatural strength and agility, and is feared among Latino populations everywhere. The "coyote with mange" depiction is full of Narm, but the classic Chupacabra, which resembles a mix between The Greys and a Velociraptor is one of the more nightmare inducing creatures of recent times. There are no confirmed attacks on humans yet, but who knows?
Many aliens can be nightmarish, as well. Although many of the stranger aliens on this list are Nightmare Retardant, the more infamous aliens on this list are truly creepy.
While the Hopkinsville Goblins are Ugly Cute, the fact that they're Nigh Invulnerable little bastards who attacked a Kentucky family's homestead makes them disturbingly creepy.
The infamous Flatwoods Monster is another alien sighting that has actually been hostile to humans. Not to mention its resemblance to traditional depictions of the Grim Reaper.
You forgot the fact that this...thing was able to shoot venomous gasses from huge tubes on its body!
It's quite telling that both the Hopkinsville Goblins and the Flatwoods Monster were used as inspiration for the alien abduction Romani Ranch side quest (one of the most terrifying things in the game), in Legend of Zelda: Majora's Mask.
Although The Greys are usually overdone to the point of Narm in pop culture, just the thought of ineffable, emotionless beings lodged right in the Uncanny Valley abducting people and probing their bodies - perhaps even impregnating them with alien-human hybrids - is just plain creepy.
Then we have the Reptoids. While The Greys are mostly neutral, the Reptoids are hostile reptilian shapeshifters who have infiltrated the highest levels of society and control the world, if you believe David Icke. Even then, the less batshit crazy encounters with Reptoids still paint a portrait of possible man-eaters.
Finally, we have the Mothman, an infamous harbinger of doom who may not actually DO anything but silently stare at people and creep them the hell out, but it tends to forbode disasters.
Similar to the Mothman, we have the Owlman of Mawnan, a beast who is far more malevolent than its American cousin.
The Jersey Devil is more than just the namesake of a hockey team. This demon is a slayer of livestock who was reportedly born when its mother wished that her thirteenth child would be a devil. It then killed its family, and sightings of this monster have endured from the 1700's to the present day.
The Mongolian death worm, or allghoi khorkoi, is a two-and-a-half-foot long Sand Worm that's said to live in the Gobi Desert. It's called the Allghoi Khorkoi since it resembles a blood-red cow intestine, and the death worm because it can spit deadly venom and electrocute its prey.
Goatman, an Ax-Crazy being from the southern United States who brutally murders people and destroys parked cars with an axe.
Don't forget Bunnyman, who's basically Goatman but as a huge, humanoid rabbit with an axe. While that may sound pretty ridiculous, and is probably a dude in an outfit, it's still plenty creepy that a guy insane enough to run around in a bunny suit, vandalizing property for no reason at all, is out free in the world and carrying an axe.
Although kids have often heard of these other cryptids, don't tell your kids about the Popobawa. A one-eyed, bat-like ogre from Africa, it's said to sodomize its victims in the middle of the night.
The Wendigo of Algonquin folklore is what happens to people who engage in cannibalism. After they've eaten another human, they turn into a tall, gaunt corpse-like being with sharp fangs that have shredded the former human's lips to nothing, bloody stumps where its feet would be (possibly due to frostbite), and transparent skin through which you can see its icy blood and heart of ice. It can turn invisible and ride on the wind to pursue prey, and it is ALWAYS hungry...
The skinwalker, or yee naaldlooshii of Navajo mythology, is basically a cross between a Werewolf and a warlock. To become a skinwalker, one must cross the Moral Event Horizon by killing a member of your family. After you become one, you can change into any animal you desire, gain the ability to cast powerful and deadly curses on anyone, and mimic the voices of your victims' loved ones.
Even though they're a bit old-fashioned now, the traditional werewolf isn't a slouch, either. There are many ways to become a werewolf, whether intentionally (selling your soul to Satan) or unintentionally (being bitten by a werewolf, being born on Christmas Eve, or merely drinking from the same water wolves drink out of.) Once you do, you become a bloodthirsty beast every full moon.
One myth was that Werewolves hid their fur under their skin in human form. This would just be mildly creepy if it weren't for the fact that in ancient times many people believed this myth. The result? People accused of lycanthropy being skinned alive in an attempt to find "proof" that they're werewolves!
The Philippines have some of the nastiest (and weirdest) monsters out there, but nothing can really compare to the horror that is Filipino vampire lore:
The Aswang, which shapeshifts, eats people (especially babies) and makes a noise that gets louder the farther it is from you.