This topic from Long and Short Reviews was quite appropriate, because I watch a hell of a lot of horror and my preference will always be for something paranormal. I don't mind a slasher film, but don't find them all that scary. I also don't like possession films much - they tend to cover the same ground over and over - and find zombie films quite dull.
The sort of monsters I do like are ghosts, and my absolute favourite is the onryo.
I love J-horror (not always the American remakes, although "The Ring" was good) and will always find an onryo scary. Admittedly they're a bit overused now and "The Cabin in the Woods" proved that, but I will always remember Sadako/Samara crawling out of the television and being absolutely terrified. As were the teenager girls sitting in front of me, who screamed hysterically and then ran out of the cinema.
So what's your favourite scary monster?