So many good ones. The Tall Man from Phantasm. Henry Kane from Poltergeist 2. Pennywise. Leatherface. Jason, Freddy, Hills have eyes, Pumpkinhead, Michael Meyers, Candyman....
But what creeped me out the most was a movie called Communion starring Christopher Walken. Made in 1989, it was about Alien Abduction. I was having sleep paralysis at the time, and the idea that an Alien could just touch your head and make you forget was scary. Every time I opened my eyes I expected to see a grey starring at me.