While the trope of mixing animals with human forms to create demonic images goes back as long as we have had civilization (notable examples from Greeks, Egyptians, and Mesopotamia) - it was Leonardo Da Vinci's notes from "Study of a Dragon" from 1513 that crystalized an important component of the concept:

  If you wish to make your imaginary animal seem natural…take   
  for the head that of a mastiff or a hound, the eyes of a 
  cat, the ears of a porcupine, the nose of a greyhound, the 
  brow of a lion, the temples of an old cock, and the neck of 
  a turtle

Which is to say - if you want to make something terrifying to humans you take known (fearsome) elements and mix them into a previously unknown combination. One strikes that balance of known and unknown.

Truly terrifying things that may exist in the universe at large may not come across as terrifying to us given that we have had no exposure day to day (GRB's, anti-matter, etc).

One of my favorite (possibly apocryphal) anecdotes about this failing is when the Egyptian dynasty under the reign of Thutmose I expanded into Phoenicia (modern day Israel/Syria) they tried bringing their religion with them. During the Middle Kingdom the god of Chaos (and evil) Set was depicted by a Hippo. The Phoenicians were unfamiliar with the animal and in turn had a hard time taking the religion seriously. The religion was not adopted widely outside the Nile valley.

Anyways, here's a fun tool that let's you mix and match various animals to create your own terryfing beast: http://www.universalleonardo.org/playActivity.php?id=525