I tend to look at 'fear' a bit differently. For videogames, I don't think that it should be based on just how enemies appear, but rather, how difficult and how frustrating they were defeat. Basically, the enemies that I would never want to face again, because I ended up breaking my controller, and hurting my thumbs in trying to defeat the bastards.
First, there's Red Falcon from Contra. In fact just making it all the way to him was a pain in the ass. Next, there was the shadow master from 'Shinobi 3', who had the ability to counter all of your physical moves, disappear and reappear, and constantly grunt in your face as he took away the last remaining life, from your last remaining continue. In Metal Gear Solid 4, there's the Act 4 escape part - that entire portion was like a boss. It took me a few hundred tries to beat it on the hardest difficulty setting. More recently, there's the Cerebus Breeder from God of War 3, and his team of Satyrs..... that was HELL! I tried for an entire week to clear that part on Titan Mode, gave up, and tried again for a few days, when I finally managed to kill that bum.