Just say Wubba Wubba Wubba!
I know the creepy blue monster you speak of! I don't blame you for being scared, what with the way his mouth would open like a flap and the wide eyes..wierd!
Although Splurge didn't scare me, there was a no-name muppet (from TMS) that freaked me out a bit...his body was black and his whole head was this wierd long triangular white beak shape (like a paper airplane fold) with these black holes for eyes. And he was short, or lower to the ground than the others. I can't remember specifically what he did, but *shudder*...I know he wasn't a favorite of mine!