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.
Below decks are dim, crowded, and dirty. When water and cold air chill sailors to the bone, there is nowhere to seek warmth and comfort. The most fascinating happening on the boat, apart from the evening drinking and singing revelries, is the doctor's meticulous attempts to replace part of a man's skull with a coin. Occasionally, an enemy ship will engage in battle; then the thrills and action will be accompanied by blood and fatalities.
Welcome aboard the Surprise, a British navy ship during the Napoleonic Wars. Peter Weir (Gallipoli, The Truman Show) gives a grim and realistic picture of early 19th century battles and ship life. Russell Crowe (L.A. Confidential, The Insider) plays "Lucky Jack" Aubrey, captain of the Surprise. After attacked by a greater French ship, the Acheron, Aubrey is determined to find and defeat the "Phantom Boat", as it is at first dubbed. However, Aubrey's determination leads to near obsession as he peruses the Acheron (which is also following him) no matter what the odds are.
The sails on the sailing ships are grimy, but still beautiful as they billow in the breeze. The movie itself is gritty but magnificent, and the sets and costumes are all created with exquisite care. Sailors are fairly grubby, the food is unappetizing, and light is faint when lanterns are its only source. The ships themselves are gorgeous, though tiny when compared to the number of men who serve on them.
The scenery is absolutely stunning, even though most of the shots involve simply a ship or two surrounding by water, miles and miles of water. There are a few detours to the Galapagos Islands, which are filmed just as breathtakingly as the other scenes.
Acting is first rate. Crowe is excellent, of course, as the dogged and resolute Captain Jack Aubrey, popular leader of the Surprise. The surgeon, played by Paul Bettany (Dogville, A Beautiful Mind), is another interesting character. He is an intellectual who questions the accepted British hierarchy and sailor superstitions, and is enthralled by natural science. Other characters include a young boy, Max Pirkis, in his first movie role, and an indecisive midshipman, played by Lee Ingleby. Most characters are not elaborated, but they are all believable and serve for some poignant moments.
Dialogue is wonderful, literate, though it could be considered corny at times. The violence can be very grisly, especially in the aftermath of fighting, though the battles themselves are mercifully swift and blurred.
Master and Commander: The Far Side of the World is supported by rousing music. Despite its gore and realism, the movie is entertaining and stirring. Highly recommended, though the queasy may cringe at scenes. Fans of sea tales and adventures of any sort should not miss this.
Minor Quibble: With the extensive attention to every detail in this movie, I wish they could have made the captain and the doctor look like they were actually playing stringed instruments. It could have been worse.
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. 
