I think each game had their own enemies that were pretty intimidating.
PSI - N/A (none come to mind, really)
PSII - Blasters. Especially when you first run into them and they have a field day blasting the entire party!

(being at a low level didn't help much either, needless to say)
PSIII - Gnashers. Along with another enemy that appears in LaShute, Gnashers always killed the weaker people in my party with one shot. I hate 'em.
PSIV - The first Dark Force you find in PSIV. The large, pulsing thing always creeped me out!

I always thought this fight was pretty tough, too.