Maybe he's not the scariest and most fascinating, (personally I like him because he's vaguely lovecraftian but it's a purely subjective matter) but just by being a meme he's naturally going to spread and become popular. He has the honour of being the first purely internet created, postmodern urban legend/folklore.
I think people are drawn to his mystery. The unknown is always scary, especially when it's so sinister, directly or indirectly. Also he's shown signs of affecting the bodies and minds of his victims, and being a part of a larger conspiracy. All elements that make for effective horror. Another big draw, at least if one wants to try their hand at creating a narrative around him, is that he is so vague the creator can make up their own stuff and personalise it a little. That's why no two stories of the Slenderman are the same.
Marble Hornets is a web series comprised of about 90 (at this point) videos. They're all relatively short, none of them are over 15 minutes long I don't think. I don't wanna spoil anything, but at its most basic it's about a group of people stalked and affected by Slendy. It's amateurish but a good effort in my opinion, and has some decent scares. It's also pretty mindfucky and will leave you going "BZUH?" at some moments. No mystery will ever be resolved. You can also try Tribe Twelve and EverymanHYBRID, the other two webseries about Slendy. All together these three complete the trifecta of major Slenderman-related efforts.
You can also play the games Slender (which is free I believe) and Slender: The Arrival, but they're more basic and they don't try to delve into a specific mythology of the monster. He's just a weird faceless guy that stalks you. They are effective and atmospheric though.