Andre himself. A sadistic, psychopathic demonic entity who torments islands for fun? Or a dying man driven to desperation to find a protégé?
His threat to destroy the island? Genuine given his powers? Or a bluff to bully the townsfolk into his deal? It doesn't help that Linoge offers evidence that points in both directions. On the one hand, he implies that he was responsible for the infamous mass disappearance of Roanoke Island. But his line to Molly at the end, "Perhaps you tricked yourselves", implies that he was lying.
Did Linoge truly play by the rules of his game or, as Molly put it, did he fix the game just so he could have Ralphie, who he seemed to prefer?
Idiot Plot: The townsfolk willingly go outside to see the lighthouse fall over, despite there being whiteout conditions and knowing that a homicidal, demonic entity is lurking somewhere out there.
The latter half of the whiteout scene. The idea that someone next to you can be kidnapped/killed if you're not looking directly at them is terrifying. The fact that the audience gets to see the victims get yanked off-screen makes it even worse.
The entire plot of the series. You're trapped on an island in the middle of the worst storm in history and you're trapped with a murderous demonic entity who knows everything about you, even your darkest secrets and will use them against you to force you into a deal.
Andre Linoge himself. A malevolent demonic entity who can take control of your body and make you kill yourself, is virtually unstoppable, and who knows everything about you, including your darkest secrets, and who is willing to destroy the entire island unless he gets what he wants.