That you say it that way shows you probably didn't get the concept...
The fey aren't there to be scary.
They're dangerous as hell, because they think of the knights as toys to be played with and/or lab rats to be experimented upon.
For example, one of the tales is of Sir Gawaine being tempted by a fairy maiden, as radiant as Guenevere... there is no horror for his companions. To him, the internal struggle may be horrific...
... that the maiden fey will kill the others if they attempt to prevent Gawaine's temptations isn't horror; it's simple helplessness. In the tale, Gawaine resists by prayer, and barely so. The maiden then indulges one of the others in his band who desires her. Then, she releases them, unable to find her abode again.