I do think DMC1's demons are probably the best. The Nobodies always stick in my mind, so creepy with their backwards laughs and bodies made from random parts. Shadows and Blades as well. And due to Dante's slow movements in this game, I don't tend to underestimate any of them on harder modes. Even the Marionettes can string you up if you don't pay attention.
Yeah, I made the mistake to underestimate those damn Marionettes so many times in DMD... big mistake. Especially when they pull out that stupid shotgun that kills you in almost one hit.