Shedinja. The way it is evolves is absolutely fascinating, but also eerie.
Giratina, this is essentially the Lucifer of the Pokemon world. The creation trio in general I find to be very intimidating-looking. Understand that these are compliments to them, they are supposed to be dark, formidable, unapproachable.
Frosslass I find rather beautiful but eerie at the same time.
Banette. The zippers/ stitches on him make it seem like something something is stuffed inside of him. Maybe its cotton? Maybe like with Ogie-Boogey from The Nightmare Before Christmas worms and critters would wriggle out of him if you unzipped it? Don't wanna find out. His expression is just so devilish and its backstory that its an inanimate object come to life also creepy. Evil dolls like Chucky have always spooked me since I collect dolls.
I know its a little early for me to say for sure but just going by the pictures from sun and moon Lunala scares me to death, its figure looks so skeletal. I think of Nosferatu with wings outstretched like a vampire bat.
Edit: I almost forgot Yamask... all that good stuff about being a dead human being holding their lost face... yeah.