I don't find the angels scary cause they don't make sense (within the rules imposed on them by the show)
These loads of shots of them when nobody is looking at them, and yet they are still stone. Surely if no-one is looking at them they should be whatever they look like regularly, since the cameraman doesn't count as a person, it's not a documentary.
I think the reason people find them scary is cause they are basically just "boo-scares". The camera moves away for a second, and when it comes back they are there, all teeth and claws. That's not scary, it's just a shock.
The Empty Child was much more scary. It was psychology horror. It didn't actually do anything to you except SHIT YOU UP FOR WEEKS