I think what makes ol' Slendy scary is the same thing that used to make critters like Chtulhu or Dracula scary. Back in their respective days, the Great Old Ones and vampires looked utterly inhuman from the reader's perspective, largely because we couldn't imagine anything more alien, at the time of these constructs being imagined, than a sentient corpse who goes around sucking people's blood or the XXL-sized lovechild of a great ape and an octopus.
These last two figures are steadily losing that alien factor. I don't think I need to go over the general and systemic pussyification of fanged fiends over the last twenty to thirty years, but Chtulhu's is a little less obvious. The core writers of the Mythos are all dead, all its contributors are dead, Lovecraft's stories are published in public domain eBooks, so there's virtually no one left to maintain the original publications' overall flavor.
Not to mention that if anyone tried to ape the Conservative (the magazine and literary group of which Lovecraft was a part), it would backfire pretty hard. It took years for HPL to relax the preconceived and sometimes racist undertones that colored some of his short stories, and it was only around the time that Einstein started to garner approval in the US that he started changing his tune about science in general. Lovecraft was a staunch conservative raised in a moldy aristocratic bloodline largely consisting of three aunts with old-ass books and a father with a penchant for epileptic seizures and pretty epic peals of delirium. You just can't hope to replicate the sort of tone that this would foster today, in an age where people have ceased to give a flying fuck about some stories' protagonists being African Americans.
So, what's left? Kids like me grab onto the Mythos, Chtulhu, Hastur or Nyarlathotep's description catches our eye, and some of us go DeviantART over the subject. Enter Chibi squids and Ursula Vernon's disarmingly cute and harmless renditions of R'lyeh's keeper. It's Adaptation Distillation to a tee.
To go back on the subject of the Gentleman; you have to consider the fact that he's comparatively new. He's fresh and ripe, still perfectly capable of incarnating that big, wide, scary Unknown Lovecraft wrote so much about. His effectiveness rests in the fact that we just don't know what he is. Some blogs go for some sort of demonic angle, others say he's some kind of conjured anima, others go with the thought-form or "Tulpa" theory - others think "Big Bad Fairie from Back When Fairies Were Actually Pretty Fucking Badass"...
To make an analogy, you could say the "Slender Man Mythos" is still exploding and expanding outward. It'll stagnate like Lovecraft's on the day that someone emerges as a definitive authority on the subject and explains exactly why it is that this thing spends its time stalking privileged twenty-somethings armed with a camera. It'll congeal when other vlog and blog producers start adhering to that new approach and turn it into the mainstream "way" of handling the Slender Man.
The day we stop asking why the Slender Man is scary is the day he'll cease to be scary to begin with. It's called reification, and it's one of the usually unavoidable processes in the life of any cultural production. Considering how fast the Internet tends to chew things and spit 'em out in various forms, I'd say that's already begun. Look for some of the several Slender Man advice Tumblrs, and you'll realize taking the Gentleman's, well, gentlemanly sartorial tendencies for face value is becoming common. So Slendy's coming off as a nice, cultured, prim and proper fellow who, in-between two time and space-warping murders, takes the time to hug or brofist a few anons and answer inane questions about what his "name" might actually be.
See the "What Will You Do?" Tumblr for details and a pertinent example of the above.
http://whenyouseehim.tumblr.com/post/19614756999
