Maybe it's just me, but the demons as presented in 1st edition were the scariest. Heck, a number of mid to high level spells were all about summoning and controlling them. Maybe it was just the artwork, or Gary's writing, but it seemed more dangerous than the editions that followed.
2e really did drop the ball by renaming everything, and 3e was just too numbers-heavy to give any feeling of dread. 4e was a joke, and I still haven't picked up 5e (so maybe 5e finally fixed them). In any case, I loved the whole set-up and feeling of danger created by the writing in the 1e books.
Also, the Demons boxed sets made my Mayfair Games were fantastic. I have both, and if you ever have a chance to grab them, do yourself a favor and do it. Not only do they add tons of cool demons, there are great examples of investigators going crazy, etc.