normally isn't that scary but...
... there are the fae
- We can safely say that Each-And-Every-One of them is creepy to some degree in the series (probably a sign that they are well written).
- The Erlkönig. This is established in his first real appearance in the Erlkönig Arc (even his son calls him this in-universe!). With added Paranoia Fuel after applied Fridge Logic and / or research. There IS something out in the dark that could get the characters... and is the father of that goofy Trickster who lives next door.
- Dark!Jareth. He is creepy in his power and fatalism... he's just truly and deeply alien. He is understandable and logical if you can think in the Theory of Narrative Causality, not that it makes him less scary, it's just method in the madness.
- "Odile". Voluntary Shapeshifter, fae mercenary, Waif-Fu practitioner, who could bind you (enslave you) just through a Mistaken Declaration of Love.
- Even Jareth that goofy "idiot" has power over time and space and dreams and is totally clueless (Just look at the page where he fixes Inception and try to imagine Cobb's point of view)... Never Sleep Again.
- The Erlking's Daughter Jareth's sister ... well she intimidated "Odile" quite easily and effectively here and her disguises are convincing, you really don't want to be on her bad side.
... there is also other stuff:
- The setup of Such Stuff... Jareth wakes up in a world that... is... just... not... RIGHT. (Including himself)
- Oh the vine borders in Such Stuff... what a nice way to show that those are dreams / flashbacks. Hey, wait, is it attacking?! (What better way to establish the danger of a thing than letting it take out (at least temporally) one of the scariest characters The Erlkönig of the series?)
- This cover. It's animated with a Jump Scare.
- The Shadow Child aka Disbelief. Weaponizes what he personifies... and given the meta "What is real?" nature of the series, he is terrifying.