So you've decided to freak your players out and really test their mettle (and I mean their mettle, not their characters' imaginary mettle). You need to know what your bogeyman looks like - here are some ideas.
Body-wise, you have three categories you might work in:
A humanoid bogeyman can be particularly effective because the form gives the players a shot of false confidence right from the get-go - it looks human, so we should be able to chop it (or fireball it) like a human.
A few ideas for medieval fantasy bogeymen:
A traditional black knight sort, maybe with a horse, maybe without
The less traditional "white knight" - perhaps in the tattered garb of a crusader
The little girl - throw in a red riding hood or even a twin to set people on edge
A peasant who's face is hidden in shadows beneath a wide-brimmed hat or a hooded cloak
A man or woman shrouded in the tattered robes of a leper
A man or woman who looks like somebody the players have encountered before
Whatever the form the bogeyman takes, its motives should, at first, be inscrutable. Like the trucker in Duel, it simply appears and presents itself as implacably hostile to the adventurers. It is an obstacle they cannot avoid and must deal with, and to deal with it, they're going to have to be creative.
Next, I'll get into the specifics of the bogeyman's powers and vulnerabilities.