What characters at level 999 scare you when connecting to a match? Personally, I think a level 999 Toro is pretty **bleep** scary considering what Toro is capable of (those combo vids are scary **bleep** XD). Mind you, my level 999 Sir Dan looks like he is quite threatening in his golden armour. So...most threatening level 999. GO!
I have a 999 ratchet, sly, and sackboy, but the 999 I hate playing against the most is Jak. I only have a vita so there is always a bit of lag which makes Jak pretty much unbeatable for me. Other characters I can handle but Jak's range, splash, and mobility make him a no-go for me online, especially as sly. Funny thing is if I play against a level 5 computer Jak, I can win consitently since there's no lag.
If you get scared by it, then just think it's someone who's been playing a lot. You can play A LOT and still be crap.
Most Level 999s I've played against weren't people I couldn't beat, if I wasted more time of my life, training.