I thought the Pale Man was quite frightening when I first saw him. And he was in a fairly well lit room, imagine running into this in a dark alley!
EDIT: After some thought, I'll add why I think he's scary. It's because he's almost human but not quite. It's unpredictable what he's capable of. You would think a beast-like creature will act like an aggressive beast. But this thing is different. Like with other monsters people already know about, you can find ways to defeat them, zombies = a damaging blow to the head, vampires = sunlight, etc. But with "new" humanoid monsters, like the Pale Man and many of Silent Hill's abominations, you don't know how they'll react to something, why they look like that, or how they got that way. Basically it is a fear of the unknown.