After the nightmare of last night I am definitely nominating Black Riders, the Ringwraiths. If Sauron tells them to do something they just go out and do it, whatever way possible. They are completely under his command, they have no will of their own. Their master told them to go out to find Frodo, a clueless hobbit, and take the Ring and what was
supposed to happen to Frodo? Who knows, really? Not only that, but they were built off of greed, for money and power and glory. In a human, there's not much more frightening. On a final note; the atmosphere of them is, well, fear. That is plain enough as it is, I think.
I didn't used to think them scary, but now that thought is thrown out the window. I find that my mind can make something much more frightening than Peter Jackson can.