On a Quest

um...psychic squid?

Giant turtles. About the size of a circus tent.

;-)

A tribe of giants? How about going tiny? Nothing terrifies an army like opponents they can't see or fight. A nice plague ought to do it...

Or a demon. It could both be pretty big AND nearly impervious to harm...

An ork...

WITH GUNS!

Monstropedia
Mythological Monsters
Encyclopedia Mythica

Manticore, sphinx, basilisk (could be pretty scary since looking at it kills you). Several smaller monsters could work too. Are you looking for something that is simply there and an obstacle, or something specifically put there to be an obstacle?

Edit: Something else that could be really cool is to set them against a pack of Karkadanns. "His body is described similar to the unicorns, exept it has paws, not hoofes. Some say it resembles a wolf or a lion. It is a predator, roaming its territorry on its own, feeding on every creature that crosses its way. No wild animal would dare to come near it. The karkadann is extremely aggressive and attacks anyone and everything. It eats nothing but raw flesh and is very brutal in killing. Karkadanns are very strong, the beast can kill an elephant without any effort." Evil Unicorn on HWWiki Karkadanns on Monstropedia

A Roc? Giant bird taking your siege weapons and dropping them on the infantry's head, sort of thing?

A creature the size of a house. When looked at directly, it's mostly transparent, like a thin cloud of smoke. But when viewed out of peripheral, it flickers brightly in infinitely more detail. Being semi-ethereal, it can pass through living things and most substances, including soldiers in full armor. When it does so, the living thing quickly smolders and burns.

A stampeding herd of bonnacons...

These have possibilities...
http://cunnan.sca.org.au/wiki/Bonacon

I'm thinking something with big whippy poison tentacles that just lashes out at random and drops everything it touches into writing death-agony. It's the random destruction that causes panic, and since you said it's an army you have the opportunity to write a scene with people screaming, losing unit cohesion, fleeing into each others' way, and causing themselves as much damage from fear as from the monster itself.