Zomba, hands down! Something about her bug-eyes, deformed body and raspy voice always freaked me out as a kid. Maldor seems pretty creepy to me too, particularly the horns coming out the back and front of his head. I really wish the Shadow Demon were one of the demons, but sadly he wasn't. Those also are my two favorite episodes of the series.
Other creepy/well-designed ones in my opinion were the Mirror Demon, Nicara, Marcella and Rankor. Phantasmo's form change at the end is also cool, but he just looks like a regular pale guy for the majority of the episode. The Cyclone Demon which was a combo of the first four demons was also cool. Also, while scary in design, Rankor completely wrecks it with his ridiculous personality.
Demondo was not scary in the slightest to me, and looked more kiddy than anything. Zimbulu and Time Slime were both meh to me. Morbidia was borderline, though I'm probably biased in the fact that she overshadowed (no pun intended) the Shadow Demon and I really disliked that about the episode.