One thing that comes across in a lot of horror films is that some characters will remain in peoples minds be it in a bad way or a good way. For me some of the best will always be:

Hannibal Lector
The Terminator
Jigsaw
Freddy Krueger
Annie Wilkes

Some of these may seem like odd choices. The Terminator for example is not your classic horror movie bad guy but the conversation between Kylie and Sarah where "he does not feel pain, he does not feel remorse, and he will not stop until you are dead" sums up for me one of the best. The other choice of Annie Wilkes also just freaks me out, how her attitude can change so quickly just how sick in the head she is I really hope people like this NEVER work in the nhs.