-Vampires. Because, well...vampires! And I do mean the ones adhering to the 'old rules for vampires' of the bram stoker era. Not all this new age stuff like the vampires from true blood, or *shudder* twilight. Even the vampires from buffy weren't good 'monsters' imo.
-Tonberry from final fantasy. I mean...to make even seasoned rpg gamers hastily try to flee from a battle in fear the moment they see this little green guy with his tiny dagger and hooded lantern...I love him. <3 And I especially love the first time, or the first few times someone new to the FF series encounters them.
-The Weeping Angels from Docto who. I mean my god, if there was ever a good idea for a very scary horror movie it would be one where the bad guy was a group of weeping angels, or even just one of them. Harmless and indestructible when you see them, but you only have to do so much as blink and... Add to that the power to invade people's minds when you look into their eyes, and even use mere images of yourself (video, proper drawings, etc) as a way to also attack your prey. Yea...truly terrifying monsters and brilliantly thought of. The only down side would be that they mostly don't kill or even harm victims, but just send them back in time where they can live on.
-And as said before, creepers in minecraft. They don't seem 'too' scary when you're playing on hard or below, really. But go and play a few games of hardcore mode, and you'll stop dead in your tracks just from seeing one in the distance. (well, either that or quickly run into the other direction.) Such a simple, yet great design.