While most horror film protagonists are worthy of fear on some level, there's something more primal about movie monsters that are demons. Maybe it has something to do with the religious connotations demons carry, or maybe they just spark the imagination more than your average, everyday scary antagonist.
Whatever the case, some of the most famous movie monsters in film history have been demonic in nature: Pinhead. Pennywise the Dancing Clown. Chernabog. You better keep a cool head; these supernatural beings are ready to haunt your dreams for days after the credits have rolled.