When it comes to undead, my favorite has to be the lich. Yeah, skeletons and zombies are classic, but not only are liches powerful magic-users, they're also immortal. They're very similar to dragons in that they're almost certainly going to have deadly lairs filled with devious traps and undead minions.
So, liches have a ton of advantages that make them dangerous foes for adventurers. They're functionally immortal. If their body is destroyed, it will regenerate unless their phylactery (which is sure to be magically protected in at least one way) is also destroyed. They have access to a ridiculous amount of magic, mostly because they have all the time in the world to research new spells (even if they're clerics).
Now, liches do have some major disadvantages. They're susceptible to turning (though if a cleric is high enough level to turn a lich, the lich has more problems to worry about), and if their phylactery is destroyed, they're out of luck on the whole immortality deal.
However, a lich's biggest adventage is that they have a lot of experience. Over the course of a lich's unlife, chances are that they've seen most things that adventurers can dream up. They've typically got hundreds, if not thousands, of years of experience learning everything they possibly can.
The most devious, deadly, horrifying dungeon crawl in the history of D&D, the Tomb of Horrors was the home of a lich, Acererak. I rest my case.