I was pretty sure he was coming for me, so I kept a loaded 20 gauge under my bed. I figured he'd come in through my window, and hopefully I'd get to it in time.
In high school I was scared of a serial killer called the Railcar Killer. He was a Mexican guy who traveled by train and killed people for no reason. That's what made him scary - as with all serial killers - an indiscriminate taste for violence. Cormac McCarthy has touched on this theme in his books as well, from Anton Chigurh in No Country For Old Men to The Judge in Blood Meridian. Senseless violence is evil personified, and we have much reason to fear it.
People fear all sorts of things in this category: snakes, the boogeyman, terrorists, etc. We fear the unknown outside us which can kill what's inside us.