There's a lot of enemy mobs in Bungies big new shiny title.. Which ones keep you checking over your shoulder?
For me personally it's the Vex in general. The hive and fallen at least use cover and tactics. The vex march forward, throwing as many bodies as they can, and they have many, to wipe you from existence. Regardless of losses.
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Wizard, if it looks up to shoot at you it dances. Not really creepy but funny