How about The Nothing from The Never Ending story. I don't know if it really counts as a monster but I always thought it was a pretty cool idea. I mean, how can you stop nothing??
Of course, while not my fave, Audry II from Little Shop of Horrors holds my all time "Kept me up all friggen night" award. Saw it when I was about 5 years old and it caused me to spend many a sleepless night thinking that the "big monster plant" was in my room and would eat me if I got out of bed. I had one overactive imagination as a kid.
Anyway, if you'll excuse me, I have to go replace the bulb in my night light.
gEEk