The Shrieking Shack is haunted by a ghost, not a creature. The ghost is assumed to be the ghost of Sir Nicholas de Mimsy-Porpington, also known as Nearly Headless Nick, the resident ghost of Gryffindor House. He is not a particularly fearsome ghost and would not cause the Shrieking Shack to be so named. It is likely the house has some other, darker reason for being called the Shrieking Shack, possibly related to the events that occurred there involving the werewolf Remus Lupin.