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.
The lullaby of the piece says it all: Pan's Labyrinth (El Laberinto del Fauno) is painfully poignant. Every aspect is beautiful, from its poetic dialogue to its rich cinematography.
A tense and frightening story, Pan's Labyrinth is set after the Spanish Civil War. Ofelia (Ivana Baquero) is a little girl with an intuitive imagination who moves to a military outpost in the middle of the woods. Her mother, Carmen (Ariadna Gil) is carrying the child of Ofelia's step-father, Capitán Vidal (Sergi López). There, Ofelia meets the strong servant Mercedes (Maribel Verdú), who is secretly supplying rebels hiding in the forest. Ofelia is also meets more inscrutable and unusual creatures, which lead her deep into an old labyrinth. At the center, she meets a faun, a being which smells like earth and who tells her that she is a long lost princess of an underground kingdom. To reclaim her place, he assigns her three tasks.
Most of the film focuses on the "real world", leaving the existence of Ofelia's fantasy world up to the viewer. This reality involves an exceedingly brutal step-father, an ill mother, and the cruelty of war. The Faun's, or Pan's, world mirrors the terror Ofelia senses, though rarely sees. We, however, do see the depravity of Captain Vidal, who tortures and mercilessly murders, all in a day's work. Mercedes' courage in the face of the captain reflects Ofelia's bravery while encountering a spine-chilling monster in one task. For once, this movie monster is terrifying in its hideousness. Almost as frightening as the war itself.
Ofelia is played by the wide-eyed Baquero, who reacts sometimes minimally but always honestly. Mercedes is ridiculously likable in her quiet heroism. Vidal is so obviously a monster, especially because he views himself as a noble soldier who does his job. At one point he notes that others must think he is a monster. It is a strange thing to realize that he does not see himself as a brute. Pan himself (Doug Jones) is an ambiguous creature. To both Ofelia and the audience, he is threatening and comforting.
The creatures and sets are gorgeous and twisted creations. It is a rare fantasy/war movie that succeeds in distressing, emotionally engaging, and uplifting the viewer. Some have said that the conclusion is bleak, while others find it transcendent. This film is not perfect, and be warned that it can be difficult to take. However, I highly recommend it, as Pan's Labyrinth is one of the most beautiful and powerful movies I have seen.
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. 
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.
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. 
