If there wasn't the Pinhead option, I would have said Vampires. (Because I love Vampires) Seems like not enough know who Pinhead and the Cenobytes are. Ahhhh welllllll. Some of the stuff in Hellraiser is truly creepy though. In a cool way.
Pinhead wins! Zombies are stupid, vampires can sparkle, werewolves only turn at the full moon, ghosts and aliens could be number 2 on my scary list, the rest are just silly. But Pinhead.. maaan I couldn't take Rubrik's cube in my hands for years! I mean if I manage to solve it.. what if Pinhead comes out! [link] oh yeah.. exquisitely empty....
Zombies. They are a slow moving impending threat that is seemingly unstoppable. They spread like wild fire and cannot be scared or intimidated. Once an outbreak starts there is very little stopping it from being everywhere. Vampires may be cool and defiantly threatening, but they are nothing compared to zombies.
Aliens, because if you twist the stories behind them correctly, you can make all of those other creatures. Just watch Doctor Who! And then it's just terrifying to think that SOMETHING might be out there that can destroy earth and not give a shit.