I'll have to go for the obvious ones I've always loved and hated at the same time.
Pyramid Head from Silent Hill 2.
What greater icon of the franchise than the red-hooded executioner of Silent Hill's underground prison? He's wonderfully bad-ass to look at, can never be killed unless he kills himself and wears the symbolic garb of Vatiel. The symbolism of the original PH in SH2 was the best; embodiment of rage, murder and blood-lust and of violent sexual enforcement. It's a shame how much of a media whore he has become, but I still think he's awesome.
The Air Screamers(the flying monsters) from the original Silent Hill.
Cheap as hell because the combat system in the original was pretty horrible, but that was kind of the point, you weren't some bad-ass trained to overcome these sorts of situations like in Resident Evil, you were a writer looking for his (adopted) daughter. However that doesn't change the fact that these monsters were cheap as hell, you could hear them coming and you know they'd get you soon, so you're on the edge of your seat hoping to make it to a door before those damn things swoop down and take a pretty small chunk of health off your bar. Sure, they weren't all-too threatening, but they were annoying as hell and most of the time you couldn't do anything about them because you had to save your ammunition for more important enemies.
Dracula from Castlevania.
I didn't have a clue how to beat him the first time because I had struggled so damn much to get there and wasn't fully concentrating, but I got there eventually and was actually sad to see it end. Well, enough talk, HAVE AT YOU!
There's a few more to add to the list but I'd just be boring you.