Theres a simple way to avoid Pinhead. Don't open any strange looking boxes.(Also make sure your ancestors didn't do it either) Leather is the scariest if only from the fact that he actually runs after his victims. Freddy lost any scaryness he once had as soon as he started cracking jokes, plus, it's only a dream, so pick up a pipe and/or knife and do him in, you're in control. I am a Freddy fan but I have to say that he's a pussy, just like the Scream killer.
No doubt it's Freddy. There's no way to avoid him. You can't run from him forever because you have to eventually sleep. And whatever drug they created in Jason vs Freddy doesn't hold true in real life. It has to be Freddy.
Jason would be the second scariest because he has the most kills out of any horror movie villain.