I just finished reading Dracula, the classic novel by Bram Stoker. It's the first novel I've finished for about 6 months, as I've been very busy. It was fantastic, though. Aside from being very well-written, the villain of the book (Count Dracula) is just downright creepy. He is, put plainly, a supernatural stalker.
And if it ended there, he's just be a slasher villain. But what puts Dracula up in the ranks of good horror villains is simple: You can't understand him. His motives are, at best, vague. We know his goals: He wants victory over London, and he wants specific women as his servants. But we don't know why. We even know what he's going to do next, almost night by night, often even where. We don't know how. He keeps getting stronger, he learns more of his powers, he adapts, he's smart. He has weaknesses and works against them. He always keeps a trump card up his sleeve, so he can escape with a power that the heroes don't know of yet.
And it's the fact that Dracula is so hard to get inside (the mind of) which makes him a creepy villain. You can't sympathize with him, you can't understand him, as he's just not human. There's nothing to understand. He preys, he's a hunter, he has some strange motivation which he never lets on, and is very specific about what he does next. You can learn of his strengths and powers, but only through experimentation and vague legends. You have to test your luck.
I think some people misunderstand what a scary villain is. It's not something that can screw you up majorly, it's not someone who has a lot of power. It's someone who is doing something bad and you can't learn why. He is indecipherable, almost mad. Yet madness alone isn't scary. Dracula's scariest trait is that he's sane. He's so sane and logical that it's scary that he acts like a madman. He does things all for a reason, and you'll never understand why.
It is, quite simply, fear of the unknown, fear of death, and fear of evil, all rolled into one suave package. It's downright creepy.
And that's fantastic. Anyone who wants to read some well-written, nay, amazing, horror should read this book. I give it a full recommendation, just for the villain.