Number one answer for me is Animal. I was terrified by him when I was a kid. I remember my friend even used to pull out his playing piece from his Muppet Show board game, and his photo alone would send me running. Of course back then Animal was a lot scarier then he is now. ( Modern Animal is almost more "cutesy" then he was back then, when he would literally attack others.) I even used to have nightmares of him when I was a kid, so it was pretty ironic that as a grown up when I got his Master Replicas puppet, I literally had him standing on my tall dresser in my room towering over me while I slept lol.
Other more minor runner ups: Yoda, Sammy the Snake, that witch on Sesame Street, the Egyptian Bert and Ernie (plus Ernie with the crazy eyes when the Count wouldn't let him sleep), and the ghost Kermit from Disco Frog. I think Frazzle also fell into this category. Even though I didn't see much of him when I was a kid, I remember he appeared on some Sesame Street bedding I had, where he creeped me out. My mom keeps telling that story though thinking that it was Cookie monster, but it really wasn't.
And finally: Oscar's feet! Seriously! I had no problems with Oscar, and even liked him, but whenever they would show him walking or running around in his trash can where just his feet stuck out, that creeped me out. Don't ask me why because I can not fathom for the life of me any reason for it. I guess that is just the way you perceive things when you are little, even when it makes no sense whatsoever.