There are precisely two things not terrifying about Zebidiah Killgrave; the first being his name, and the second that - as his villain alias suggests - he is entirely bright purple.
In spite of this, Killgrave is undeniably one of the most unnerving supervillains to date on account of his mind-control powers, which give him the ability to make anyone do anything. These powers are used almost solely to scar others - both mentally and physically - and mainly just for Kilgrave's entertainment.
Killgrave only really took on this terrifying persona after his appearance in the 2001-2004 comic series Alias, where we learn he kept Jessica Jones prisoner through his powers for several months - a time in which he tortured her psychologically and physically.
More unnerving, however, is the fact that Killgrave's more sinister use of his powers doesn't stop at Jessica Jones, as it was revealed in Daredevil #8 that there are many, many children he has had in this manner as well as a wife who was forced to marry him under said mind control.
It is easy for a villain to be frightening physically, but Killgrave proves that doing despicable things to powerless people is far, far worse.