A lot of it is psychological. I never really knew about him that much until PewDiePie played Slenderman and Slender. Then I found about Marble Hornets. Then I found about EverymanHYBRID. Then I found about TribeTwelve (You can see a pattern here, right?) Now, he's my favorite horror figure. First off, he doesn't really look that threatening, just weird or wrong if you will. Second of all, what does he do? No one really knows. All he usually does in these series is stand and stare, stand and stare, stand and stare. Then suddenly he's either closer or gone. But children disappear, people lose months worth of memories, your camera footage becomes f'ed beyond recognition, strange figures send you cryptic packages and videos, then you follow your friend Alex into the woods where he tries to shoot you. You never see Slender Man do any of this, but it all happens because of him.
Horror has kind of died off in my opinion. Now, it's all about the shocking violence like those in SAW. I like the kind of thing that doesn't directly hurt you, but makes you hurt yourself. Slender Man is kind of a breath of fresh air to me. I always know that it's a bad idea, but I love watching that stuff at night knowing it's going to mess me up. Hell, last week I had a dream where I fought Darth Maul, then took part in an obstacle course at night in a park. After all that, I just randomly looked down a street. Underneath an orange street light, there he was. When I woke up, my whole body was shaking. No other horror figure, movie, series, etc. has ever caused that sort of reaction in me.
And that's all I have to say about that.