Part of it might be that, after prolonged exposure to a pantheon of hideous, insanity inducing creepys cary unearthly creatures from beyond our dimensions of comprehension, we're not so frightened of them anymore. Cosmic horror becomes a normal background-noise-emotion to everday experience, and the only frightening things left are the things that seem completely unaffeted by the horrors that saturate the cosmos.

I think they're scary because, when the Old Ones do arrive, they will radiate that same level of unaffcted-by-the-world's-horrors. they will make Sanrio and Disney look like smut-peddlers as they transcend all petty human cultural distinctions and seek to consume the minds and souls of all humanity. I also think that might be part of their appeal - they're Not From Here, so they untainted by any sort of earthly sociopolitical agendas or religiouisly-inspired oppression.