I'm going to say Marionette, simply because there's something so weird about it; it doesn't fit the theme every other character has, and its motives seem to be the most ambiguous of the group.
I'm actually surprised a lot of people here are frightened by Chica. I haven't found any incarnation of her scary(excluding the Nightmare one, I think that one is scary). I always thought of her as either the derpiest looking of the group or the Team Girl (for the original and toy versions, respectively), neither of which were scary.
I shudder to imagine what the other nightmares will look like...