One of the scariest parts is when their actions seem to have no logical explanation. Maybe they lock themselves in the bathroom for hours making strange noises, and when they come out, they act as if nothing happened. And if they have a violent streak, like randomly breaking things or threatening you, that's extremely terrifying. It makes you constantly on edge, not knowing if you'll be the next target of their outburst.
For me, it's when they invade your personal space in a really creepy way. Like going through your stuff without permission or standing too close to you all the time. It makes you feel violated and unsafe. In a horror story, this could be intensified when they start leaving strange objects in your personal area. Also, their abnormal behavior like talking to unseen entities can be really frightening as it gives an air of the supernatural.