Damien. The concept of the Antichrist being a child who is fully aware of the terror that he is directly and indirectly causing is freaky. What could make that worse? The fact that he acts so innocent and adorable most of the time.
Thoughout the first three films, it becomes clear Damien's followers are everywhere and could be anyone.
It's creepy enough looking at an ancient painting showing the face of The Antichrist, it would be even worse when he looks just like your adopted son.
The fact that Damien has all the help in the world, both supernatural and from human followers, while the good guys are basically left to try and take down the Anti Christ by themselves with no assistance whatsoever from any divine forces, with a predictable result. You'd think God would be a little more keen on keeping the Anti Christ unborn, but nope, humanity is left to fend for itself as usual.
Ominous Latin Chanting is terrifying alone. Then they add it to scenes featuring a Creepy Child Antichrist and people being murdered.