I know what you're talking about. That doesn't make it scarier to me. The threat scale. I didn't see people walking away saying Loki and the Chitari felt really scary because they nearly wasted New York.
People didn't find Thanos frightening because of the scale. They found him frightening because he's unpredictable in ways that movie villains (including the Joker) usually aren't.
1) Thanos doesn't bend to narrative "rules" that we've all been trained to believe in. When the heroes make big sacrifices or dramatic entrances or clever plans with great teamwork we expect them to succeed. But in IW Thanos is the protagonist, so it's
his plans and entrances and sacrifices that pay off.
2) The structure of the movie made it possible, narratively, for any of the heroes to die. When T'Challa gets thrown over the waterfall in Black Panther, no one in the audience thinks he's dead; it's *his* movie. But in both my viewings when Thanos [BLACKOUT]stabbed Tony[/BLACKOUT] there were audible gasps and shouts because everyone subconsciously knew the movie didn't really need him any more.
3) Thanos takes a measured approach to conflicts in the movie that leaves the audience unsure of how far things are going to go. He tends to start slow (perhaps even by talking) and escalate as he meets resistance; once he's got what he wants, he tends to leave. He's not out for blood but he's fine with killing if that's how it unfolds. That's a different dynamic from most superhero fights, where there's an unstated assumption that the villain is going all out (be it to escape or to kill the hero), and it creates a weird sort of rising tension where the heroes feel more endangered the harder they fight.
4) Thanos' capabilities keep changing and growing as he gets more Stones. So not only is the audience unsure of what Thanos will be willing to do, they also have only a vague idea of what he
can do until after he already does it.
5) The state of the MCU, with a lot of big name actors having their contracts ending, made the heroes dying or being otherwise removed plausible in a meta sense.
It's kind of a perfect storm.