For me, it's without a doubt the Phyrexians. Seriously, all it takes is one drop of Phyrexian Glistening Oil to corrupt a world. And that's nothing compared to the body horror and psychological horror that they can inflict. Those undead magical cyborgs, while awesome, are also terrifying.

Eldrazi are also a huge contender, best case scenario you have Ulamog's brood that just eats you mind, body, and soul. Worst case, you have Emrakul that fuses you with something while twisting your mind into something unrecognizable and sends you to spread its madness to all around you.
All of that precludes the fact that they literally eat planes, and the two that were actually defeated required the combined force of four planeswalkers weaponizing the leylines of an entire plane (Emrakul willingly went into the moon to wait until Innistrad was "ripe" enough).

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Yeah, I agree, Eldrazi are also terrifying. Still, for me the Phyrexians have the bigger amount of nightmare fuel. Oh no... Now my brain is wondering what would happen if the Phyrexians and the Eldrazi were to encounter one another.

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Who ever wins, we all lose

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Yep. Either we become food and/or puppets of eldritch beings who we have little to no knowledge of their motives and such, or we become horrific undead magical cyborgs.