I like the OP's list a lot.  Here's one of my most intimidating characters:

Sanger Zonvolt (Super Robot Wars OG) - His Zankantou was bigger than most enemy mechs and his battle theme screams "You're going to die." 

He begins almost all battles with a battle cry of some variation of "Ware wa Zengar, Zengar Zombolto.  Aku wo tatsurugi nari!" - "I am Sanger, Sanger Zonvolt.  The sword that cleaves evil!"

He finishes them with "Waga Zankantou ni tatenu mono nashi!" - "There is nothing my Colossal Blade cannot cut!"

There are scary characters when you see em and fight em, but there are those that are intimidating even just by them being near. These are characters that you feel the need to run away from just sensing their approach...

So these are my top 10 most initimidating game characters of all time:

10.) Archimonde (Warcraft 3) - He destroyed Dalaran by making a sand castle. In the Battle of Mount Hyjal, he wasn't all that scary though, until you get to the last part where he appears as a freaking huge devil dude who makes the earth wilt under his feet. He makes Grom Hellscream look tame.

9.) Auron (Final Fantasy 10) - I always had him in my party because first, he kicks ass, and second, I always thought the enemy would fold more easily with him around coz he was just totally intimidating to look at and talk to. Mean, uncompromising look + deep, uncaring voice + huge sword wielded in one arm = don't mess with me.

8.) Shao Khan (Mortal Kombat) - "Don't make me laugh! HAHAHAH!" in your ear while he's laying the smack down on you; what's more disheartening than a shredder-like dude hammering on you while laughing about it?

7.) The Colossi (Shadow of the Colossus) - I'm a 5 foot nothing guy with a little glow in the dark sword and I have to fight... a 300 foot tall stone machine of death? No thanks. It took me 20 minutes before I even approached my first Colossus out of sheer lack of balls. They were just intimidating beyond belief.

6.) Mephisto (Diablo 2) - It was all in the voice. Marius, the stupid old man narrating the entire episode, knew what he was talking about when he said "i heard a voice then that was like a thousand needles in my heart..." Hearing that unholy tone made the hairs on my back all stand up. Add to that the mutilated form of Sankekur floating six feet in the air in a pillar of smoke...

5.) Mike Tyson (Mike Tyson's Punch Out) - Let's face it. This guy is im-fucking-possible to beat. Getting to that stage after beating a whole slew of weird ass flunkies makes you lose respect for the final boss, but getting knocked out three seconds later from one punch gives you all that respect back with interest. After getting knocked out the hundredth time, getting to the final stage just becomes a dread. Like people don't even want to play anymore.

4.) Kratos (God of War) - There ain't no bigger anti-hero than the guy who refused to die three times and would pull himself out of Hades just to get revenge. The violence, brutality, and ferocity of this man would sometimes make the player cringe, even though it is the player guiding his actions. The amount of rage contained in this tattooed monster of a man makes even gods tremble at his roar.

3.) The King of Koopas (Super Mario Brothers) - Well the trek through the 8 worlds culminated in a showdown with the Bowser, a giant fire breathing turtle-dragon over a pool of lava with fireballs spurting out. But what made this guy intimidating was really the whole trek; see, the journey takes you to these castles where a mushroom dude would tell you to go to another place, and another, and another... and so one cannot help but build up anticipation for a battle with the King.

2.) Lu Bu (Dynasty Warriors) - The guy has probably the coolest theme song ever made, and the first time you meet him at Hu Lao Gate, you know that he ain't the guy to play around with. The stories say he was more powerful than 10,000 men and could ride his famed horse, Red Hare, 1,000 miles a day without rest. During the battle, you could see him more than a match for three of the greatest heroes (the three shu brothers, Guan Yu, Zhang Fei, and Liu Bei) at the same time. His character model also displays fear, due to the fact that he was much larger than the ordinary soldier and his spear was just crazy looking...

1.) Scissorman (Clock Tower) - The sound of giant scissors clanging and the eerie suspense music that comes along with his approach was enough to give me nightmares. In fact, I couldn't even get past the first level. The first time I sensed him nearby, I would turn my Playstation off and run to bed. It just goes to show that you don't mess with an insane old decrepit man with a giant pair of scissors...