The Banshee story can be really terrifying. The idea that there's a spirit out there that can predict death just by wailing is spooky. It's like a harbinger of doom.
The Dullahan is very scary. Just imagining a headless horseman riding around, especially when he's supposed to be an omen of death. He's often described as very fast and if you see him, there's no escape from the bad fate that's supposed to follow. His appearance alone, with his head under his arm, is enough to send shivers down your spine.
The Hellfire Club stories are also quite scary. With all those tales of devil worship and the strange apparitions that were seen there. The thought of a place being so full of evil and haunted by the devilish things that happened there is really frightening. For example, there are stories of strange animals and unholy figures being seen on the grounds. And the fact that it was a place of such immoral behavior in the past just adds to the creepiness.