Scary Sesame Street Muppets
As a kid I had nightmares of that green muppet who wore a trench coat and black hat and tried to sell Ernie letters on the Street. His name I think was Lefty, and he had an aspirated voice. He'd say, "psst Ernie, would you like to buy an 'O'.
Probably not as scary as some of the early day monsters. However, I remember to this day as a five year old having many nightmares that the guy was hidiing under my bed and was going to bite my face off with his pointed green head and sneeky manner.