WCW's The Yeti... not really a Yeti, more of a TP monster
Let's all be honest here. If you're a horror fan then odds are you're also a pro-wrestling fan. I don't know of many people that don't have that cross-over. "Sports entertainment" has evolved from just the standard heel/face battles into developed characters with costumes. I still remember being a kid and The Undertaker coming out with Paul Bearer. We had Paul's spooky high pitched voice talking about the dead man returning from the grave with the Undertaker rolling his eyes back. It was creepy.
There's Kevin Sullivan who embodied the role of a satanist at a time when that was unheard of. Stables like the Dungeon of Doom, the Brood (existing because White Wolf worked with WWE to create the wrestler Gangrel to go with their LARP game), and the Disciples (which crucified the owner's daughter by the titontron) created an ominous presence.
In modern times we have Bray Wyatt speaking of supernatural powers, a spirit known as Sister Abigail, and practically crab-walking around the ring. He also was the reason we had the amazing "House of Horrors" match which involved the shittiest Halloween haunted house and a KO-by-refrigerator. I wish every gimmick match was as awesomely bad as that.
Speaking of gimmick matches, sometimes you don't even need the characters to keep things evil. Barbed wire, cage matches, hardcore matches, backyard wrestling, Japanese Death Matches, "C4" matches, all things that push the limits. While WWE has pretty much banned any blade-ing (when a wrestler uses a concealed razor blade to cut their forehead during a match), there are still matches in other federations where you can catch some insanely bloody scenes.
Before I forget, there's Lucha Underground which is essentially everything you could want with wrestling and strange story lines. Mil Muerte was introduced as having the souls of 1000 dead men inside of him. Their plots blur the lines of reality in a way that we haven't seen since the late 80's/early 90's. We also have New Japan Wrestling which literally has a character that is just named Evil and comes out holding a scythe and a stable of crazies.
I could go on and on. I was going to post the video of Sandman vs. The Zombie from ECW (when they got picked up by the Syfy channel) because it's hilarious, but Hulk Hogan meets the Dungeon of Doom is so much funnier. Plus it's a tiny B-movie in its own.