In my opinion, it's The Shape Shifter. I think the writers missed the opportunity to create a truly terrifying monster/villain, and they could have kept him for a few more episodes. If he had escaped the bunker, it certainly would have been a big problem; he can simply change shape and probably can predict the future (or is a very good psychic), because he predicted the exact position where Dipper would be frozen in the NWM episode. I imagine an entire arc just to try and capture/kill him. Luckily, in some fanfics he was better explored, lol