LotR -- Book 1 - Chapter 06 – The Old Forest

[Boromir88]

Of course, the Hobbits had been shadowed by the Black Riders, but to a first-time reader, I think the Barrow-wight, seen (and heard) at a much closer distance, would be creepier.~Inzil

For me, I'll give a very Elvish answer and say both, yes and no. Yes, they are creepier and their threat is indeed more upclose and personal than the Ringwraiths up to this point.

The Ringwraiths are still quite unknown, or I should say their true threat if they find Frodo is not yet known to the readers. They're still just "Black Riders" who are servants of Sauron hunting for the Ring. Gandalf barely says anything about them and Gildor pretty much refuses to tell Frodo anything more than "stay away." We know they're pursuing Frodo, but all encounters are from second hand accounts (Farmer Maggot's). They aren't a direct threat until the attack on Merry in Bree and even then their danger isn't truly revealed until their attack on Weathertop.

Old Man Willow and the Barrow-wight are, in some ways, perceived as larger threats, but their danger is also far more restricted. Similar to how I question Bombadil's powers outside his own defined borders. Old Man Willow and the Barrow-wight have defined borders where they are extremely dangerous, but not a threat outside their areas. Even if they haven't managed to catch the hobbits yet, the Ringwraiths power clearly isn't limited to specific boundaries. Right from the get go, we learn they manage to break into the Shire and Frodo barely managed to leave Bag End in time.