Second: books. The Dresden Files represent fairies well. So do Tithe, Valiant, and Ironside by Holly Black.
Paranoia from fey isn't based on cheap horror tricks- sure they can do that, but that's not why you should fear them. They're social creatures, and any interaction you have can enmesh you deeper into their machinations. They are cruel, inhuman, and don't give a damn about you. They will commit unspeakable acts to you because they thought it was funny at the time. They will try to entrap you to further their own goals or to while away the hours. They are monstrous and terrible and beautiful, and they will take away everything you love and care for while acting as a friend all the while. To us, the fey are twisted and they revel in it. This is what makes them terrible- that anything you do with them may draw you deeper into their schemes and madness, and that one day you may realize that you can never escape.