Undead are, by far, my favorite supertype of monster of all time, and for good reason. As I mentioned a few posts back, my mom used to take me to horror movie marathons when I was a kid, and the most prominent villain in those were the undead, and not just the standard fare of zombies and vampires, but also mummies (Karloff was the best!) and skeletons and ghouls.
All of these monsters captured my imagination and kept me going to the library looking for horror books as well as filling some of my first sketchbooks with vampires and such. This, of course, had continued on into my GM style with preference for enemies.
Nothing fills most people with dread more than a shock of mortality in the form of seeing a dead person, and to up that feeling by having said post-living attacking them speaks to our most basic fears of death. Though it might not come through at the game table as an existential moment, there usually is a sense of dread amongst players when the undead arrive.
My favorite amongst those who used to walk among us? Ghosts.
A zombie or a skeleton is, more often than not in rpgs, presented as a corpse merely animated with dark energies, and not possessing a true sense of motivation other than a drive to stop the living from living. Even more frightening are ghouls, vampires, and liches, who have that drive and goals, and an intelligence with which to achieve them.
A ghost has that drive, that intelligence - but also a sense of the unknowable. It becomes scarier than the bodily dead because you know that it literally is a manifestation of one's soul, their spirit, which holds them here for some reason. It's almost impossible to know what keeps a ghost anchored to the mortal coil, or even if they are present, since their natural state is an invisible and silent one.
Though technically a subclassification of ghost, the poltergeist has been a particular favorite since I saw the eponymous movie as a young child. A malevolent spirit deep-rooted to a location who manipulates its surroundings to drive those it feels does not belong away, or simply to kill them makes for an engaging enemy, and one hard to quell for any would-be hero.
Sadly, I haven't used undead as much as I used to lately, because my campaigns just haven't called for it, but this post has me considering options for the future...