Not really a monster as such, but when I was young I was convinced an evil Egon from Ghostbusters would put up a ladder to my window as I went to sleep. I had to make sure the curtains were completely closed so he couldn't see me.
A childhood belief about monsters

others believed things like this
- When I was a kid I was completely convinced that Sade's "Smooth operator" was "Ooh of the red eye".— Brookstar78
- I used to think that if I closed my eyes other people couldn't see me.Anon
- I used to believe that if I closed one eye, the people on that side couldn't see me.— KM
- a friend was convinced that his school was an asylum, and couldn't be convinced otherwiseAnon
- I used to be convinced that there were bald-headed beige aliens outside my toilet window.— Phil
- I used to think that the expression "The former or the latter?" was actually "The farmer or the ladder?" — Fitzwilliam