Here is a list of film villains who actually scared me. Some creep me out. Some vastly amuse me. These ones were just plain scary. (In alphabetical order by movie.)
The Joker, played by Heath Ledger, in 'The Dark Knight'
Always amused, the nightmarishly hideous Joker can't be scared, only briefly disappointed. He bounces back with resounding resilience. We've all seen mad dogs before in cinema, but such an unbridled portrayal of self-awareness and incoherence has rarely been seen in Hollywood. The Joker is most in his element when his feral nature is unleashed to delight in pain and corruption.
Young Gangster, played by Paul Bettany, in 'Gangster No. 1'
The detached, viciously sadistic Gangster is a demonic figure who bears Paul Bettany's symmetrical, pale face. His vulnerability (glimpsed on very rare occasions) displays that he is not quite a demon, but rather a fellow human being, thus inspiring further fear instead of sympathy.
Chad, played by Aaron Eckhart, in 'In the Company of Men'
At first, this psychopathic businessman seems to deeply hate women. This is sickening. It is gradually revealed that he loathes people in general. This is very frightening. Then it is shown that he doesn't really hate anybody. His feelings don't run that deep. This final realization is chilling.
Anton Chigurh, played by Javier Bardem, in 'No Country for Old Men'
"That terminator is out there. It can't be bargained with! It can't be reasoned with! It doesn't feel pity, or remorse, or fear. And it absolutely will not stop, ever, until you are dead!" That quote is about a murderous robot, but it almost perfectly describes Anton. Add a touch of fatalistic humor and ability to feel pain and that's him.
Capitán Vidal, played by Sergi López, in 'Pan's Labyrinth'
At one point, Vidal says to a servant, "You must think I'm a monster." That was when I realized that he doesn't see himself the way the audience does. In his mind, he's a dutiful, brave soldier. To the main characters, including a little girl, he is a grave danger, who brutally tortures and murders his perceived enemies.
Jack Torrance, played by Jack Nicholson, in 'The Shining'
Mr. Torrence isn't a psycho from the beginning. He is a good guy working through his own share of demons. By the end of the film he is driven mad by isolation, or rather the evil influences of a hotel. To wife: "I said, I'm not gonna hurt ya. I'm just gonna bash your brains in. I'm gonna bash 'em right the !@#$ in!" Rude, yes. Worse yet - he means it.