As a GM, I adore seeing my players frightened. That and my love of horror movies and writings means that for me, there's two main categories of monster, the classically horrific and the paranoia inducing.
In the category of horrific sit the Undead and Fiends. I absolutely love the undead, and came within a micron of introducing the horror save from 3rd Ed Ravenloft into my game. Sure, other monsters can claim to be unnatural, but the undead simply scream "this should not be". The fact that they're fearless, hard to hurt and relentless just tops it off. Even the humble zombie, when done properly (thank you Libris Mortis) can scare players.
Fiends are just big nasty, utterly evil horrors from another plane, how can you go wrong? Devils, with their tight organisation and hierarchy are even more fun.
Paranoia monsters are even better, and can overlap with the horrific too. Vampires, and
Things Man Was Not Meant to Know are great for this. I use Mind Flayers, Kaorti and their spawn, and Ethergaunts (or the Vhujunka as they're known in my game, and they come from the Far Realm
![Devious :] :]](http://www.enworld.org/forum/images/smilies/devious.png)
) for this role. The PCs have no idea what they're facing, and when they do face it, its an alien and evil horror of great power and intellect, with unique abilities and powers. Perfect.