I think my favourite is just when they play with the unknowable. Things so different from humans they operate on different principles and see the world differently.
Sure you see this in fantasy and horror a lot with like the house in House of Leaves or Cthulhu but I'm also thinking the TechnoCore and Shrike in Hyperion, maud'dib in Dune, or the black stuff in the Expanse series. I just like alien stuff that's, well, alien