You might find it useful to re-read the first chapter of this excellent and terrifying novel to identify when the Thought Police appear and what we are told about them. Winston at first understates how terrifying they are by completely dismissing the fear of police patrols snooping in through windows into people's lives. He says in response to this that "Only the Thought Police mattered." This clearly shows the way that the Thought Police have a special place in terms of the fear that they can instill.
Let us examine what the next paragraph goes on to say about the Thought Police and their invasiveness into everyone's life:
How often, or on what system, the Thought Police plugged in on any individual wire was guesswork. It was even conceivable that they watched everybody all the time. But at any rate they could plug in your wire whenever they wanted to. You had to live--did live, from habit that became instinct--in the assumption that every sound you made was overheard, and, except in darkness, every moment scrutinised.
It is these facts that makes the Thought Police so terrifying to Winston: You never know when they can listen and look in through the telescreens that are everywhere. They can follow one particular indivdual or they might just check in on you every now and again. However, you have no idea of knowing whether what you are doing and saying right now is being spied upon. We can only imagine the sense of unease and nervousness that Winston and all citizens of Big Brother suffered as a result.