Its not so much any particular monster, but the idea of a grudge ghost. And again none of them in particular, I think they all either have a goofy backstory, a pathetic/nonsensical grudge or just look stupid, but the idea of an unstoppable force. Something that cannot be reasoned with, cannot be calmed or stopped. It has unlimited power, unlimited range, unlimited malice and will get you.
Even like the Xenomorphs can be shot, Freddie can be out-magicked, Jason can be set on fire, the Cenobites just want to make a deal and torture bad guys, giant spiders are just spiders and they ain't immune to shotguns, Pyramid Head is so depressed he kills himself, and that Ring ***** just wants her mix tape to go viral. But like the Woman in Black wants to kill your kids and if you ever look into a window, mirror or glass of water she'll find you and instantly teleport to you, and she has complete control over all kids in her area, and there's no time limit involved. You fuck up for even a second, once, 100 years from now she'll still get you.
Again I think the WiB looks ridiculous and is pretty petty for an eternal ghost, but the idea of something with her powers is scary. Not creepy, like a centipede on your foot, but scary like being chased by the Klan.