This is an excellent question, and Harper Lee manages to create a major, forceful character in the man who is rarely seen and who has only one, short line in the entire novel. Boo's mystery lies in his unseen persona. No one (aside from his family and the town doctor) knows what he looks like. Although he is rumored to creep around at night, he is never seen. The children (especially Dill) are practically hypnotized by this human distraction. The fact that he lives near the Finch children means that he (and the equally curious Radley place) are a daily reminder of his ghostly presence. He may not be seen, but the children know he is in the house and may be watching them. The gifts in the knothole only add to the suspense of Boo's character. The author connects Boo to one of the main characters of the other main plot of the story (the Tom Robinson trial), Bob Ewell, in a masterly and unforgettable manner late in the book.
Even though Boo's physical appearance throughout the novel is minimal, Boo is "revealed to be a gentle soul through his unseen acts." The mysterious acts of kindness, rumors, imaginary haunts, and fear all contribute to Harper Lee's ability to create a physically unseen character. Lee strategically and purposefully creates the mystery of her character displaying the innocence of children and the hypocrisy of the adult word through the shadows. The accumulation of clues and assumptions build to the powerful ending scene in which the secrets of Arthur Radley are finally revealed.
The children's fear of Boo Radley, based on ignorance rather than knowledge, subtly reflects the prejudice of the town against Tom Robinson—a connection mirrored in the use of mockingbird imagery for both men.
Moreover, this childish fear dissipates as the novel ensues due to the maturity and deeper understanding of societal issues.