Damien. It has a spooky connotation as it is often associated with the devil in some horror stories. Another one could be Cain, from the Bible story where he committed the first murder. And then there's Vlad, which brings to mind the infamous Dracula-like figures.
Kraven. It just sounds menacing and makes you think of someone who is predatory. Another is Malachi. It has an air of mystery and a bit of a dark edge. And then there's Balthazar. It's an old - fashioned name that has a spooky charm.
Belladonna. It is the name of a poisonous plant. In stories, a girl named Belladonna could be a witch or have some sort of dark power. The very sound of the name has a menacing and spooky feel to it.
There are quite a few. 'The Demon's Den' is a very scary name. It makes one imagine a place where demons lurk. 'The Witch's Cauldron' is also spooky as it brings to mind a witch brewing dark potions. And 'The Abandoned Asylum' is a classic. It gives the feeling of a place full of tortured souls and unexplained phenomena, a perfect setting for a scary story.
Consider 'Mortimer'. It has a connection to death with the 'mort' part, which means death in Latin. A family with this name in a horror story could be involved in dark magic or be keepers of some sort of deathly secret that haunts the town they live in.
One good last name could be 'Blackwood'. It has an air of mystery and darkness, like a spooky forest at night. Just the sound of it makes you think of something sinister lurking in the shadows.