I never really liked Lanfear. I do agree with you Jodea when you say her back story was interesting. It really was, and I enjoyed listening to it. But other than that I greatly disliked Lanfear.
Honestly, I didn't find any of the Forsaken very scary. But I do have to agree with Dart about Mohgedian. She was so infuriating. I was so annoyed with her, and in the last book she just annoyed me more.
As for the coolest... I'd have to say Moridin. Don't know why, but I liked him. (As well as...