Ms. Carmody. This lady has no supernatural powers, no extraordinary abilities of any kind, but she has an army of frightened, terrified people who will do whatever she says. If you tick her off, or disagree with what she believes, she will destroy you. She's arguably the scariest monster in the movie.
Any gamer might understand just how frightening it is when they find out it was one of the inspirations for both Silent Hill and Half-Life.
The description of the way things look after they leave the store. It's like Lovecraft decided to rise from the grave and possess King when he wrote that part.
The Downer Ending, in a very Adult Fear kind of way. Imagine if you had to do that in order to save your child from an even worse fate? Only to find out they could've been saved.
There's a webbed up corpse in a school bus. What happened to everybody else that was on it?
The Colossal Beast is as terrifying as it is beautiful. Essentially a Lovecraftian sauropod, this thing is so massive that the ground shakes with each of its individual footsteps. Fortunately, it doesn't seem to be interested in attacking anyone.
Pretty much everything about the Gray Widowers. They're among the most dangerous creatures encountered in the story, and the scene in the film where the protagonists infiltrate their nest in the pharmacy may be one of the most harrowing in cinema. The fate that they inflict on the MP is so nightmarish and agonizing, it's no surprise that witnessing it drove Jim out of what little remained of his mind. Worst of all, they seem to be some of the most commonly encountered creatures in the Mist.
One bit from the first episode of the TV series will give you a chill; after the Mist moves in, the store hears a lady shriek outside. One woman goes to the front window to see, and it turns out it's a woman who has had her entire jaw ripped off, and can't do anything but scream helplessly before she's dragged back into the Mist by something. Although that also happens to be Mrs. Carmody, so there's a plus.