I've played Amnesia: Dark Descent recently, and found the Gatherers to be pretty creepy. Still not as frightening as Pyramid Head or Crimson Heads from RE1 though.
Librarians from Metro 2033 are also a contender due to the fact they can barely be killed, you have to keep your eyes on them all the time, all this while navigating through a library without a map
What are your thoughts?