Wrote this earlier (maybe in the wrong place but eh).

Think: Alien. Scary right? Claws, double mouth thing, acid blood, all black, hisses like a snake? Makes sense to be scared of that kind of thing. Jason Vorhees? Burly guy with a machete running at you and being all stabby stabby. Also pretty scary. Now think of Slenderman's features: very harmless at first (he's in business wear, how dangerous is that?) and only seems like a random strange individual like you would see anywhere else. But then you start noticing him again and again, and encounter increasingly frantic scrawled notes that try desperately to convey that the figure now teleporting and following you is not a desirable man, no. . . thing to be near at all. It is his alien and mysterious nature that make him scary in the game and the hints of horror and violence found in the notes that make him a figure to be feared in Slender.

Also want to note the effective use of music and sound effects in the game; I especially love the booming footsteps that echo throughout that ethereal forest that imply something big and titanic waiting to, well, GET you. You then figure out that the only other living entity in the forest is you and Slender himself. How can he make noises so large? This kind of logical inconsistency directs the imagination towards ruminations on the supernatural; on Slenderman's tall, alien form, on his actions, his powers, on the assumed great power packed in such a small vessel. And his blank face. Slenderman is not one nor his he only many. In reality he is all and nothing at once; everywhere! and yet nowhere. He could be a lost soul, a vengeful spirit, an amalgam of the soul of the forest and the visage of the culmination of a society whose greatest power is a faceless business man whose invisible hand forces all and is so effective in its ruin that most never notice it was there at all.

He's not conventional scary, no. His appearance is merely unnerving and the terror Slenderman produces is akin to the fear of a big-ass spider that you thought you saw a few minutes prior but is now not where it used to be. It could be that the spider is under your bed, in your closet, in your shoe, or under your keyboard. Soon the spider is no longer the enemy, for the spider is gone; its absence becomes more terrifying than the entity itself and soon the very residence you occupy becomes the enemy. Slenderman has been made notorious for stalking individuals (as The Operator in the infamous Marble Hornets entries) and abducting people or children. The paranoia of Slender's absence and his seemingly apparent omnipresence soon turns the world (and in the game the entire forest) into a darker and more dangerous place than thought possible before.

He could be here. He could be there. He could even be right behind you.

TL;DR by courtesy of Imtheantinoob: "slendermen aren't scary themselves. The scary part is the mystery and how they could be anywhere even when absent. This makes you afraid of things around you in the real world."

EDIT N: Since this is pretty high up the comment chain I want to use this opportunity to plug (downvotes be damned) on the behalf of Tallain, who mentioned this lower down on the comment chain already, the Marble Hornets entries and EverymanHYBRID's youtube channel, both sources of really phenomenal Slenderman horror fiction that have been updating for a few years now and were around before all of the Slender hype appeared. /hipster/