My favourite are witches. What I love is that there is no 'standard' depiction of a witch. They could be green and warty or beautiful and enchanting. While fictional witches make good entertainment, there is a strong following of real practicing witches who follow Wicca or Paganism, and I think they are unique in this matter. You don't have practicing mummies or ghosts for example.
My favourite Halloween monster has always the vampire. I don't mean the sparkle-in-the-sunlight, new age vamps, but the scary, I-will-suck-your-blood-and-make-you-my-slave vampires. The classic vamp was always the best vamp!