The scene with the dive on the wrecked fishing boat still has the power to make me jump, even after all these years and countless viewings.Lecter is a good character and I agree that Brian Cox's portrayal is superior to Hopkins. Creepy, yes. He's not the scariest thing I've seen on film though. The first and second attacks in Jaws are the scariest things I've seen on film. Because it's entirely possible for those scenes to happen almost exactly as they were filmed.
My point on the Exorcist is if you put aside the religious overtones, the story is about the corruption of the innocent by an outside force (society, family, etc). That I find scary.