Oh! It could be following from the moment you meet it, but when you finally confront it it transforms into a nightmare creature and starts shooting exploding things at you and doing impossible alien monster horror stuff.
If anyone ever played "The Darkness 1 or 2" It kinda makes you think you have a fraction of the Slendermans power.
Are we talking about slenderman now, or my idea? X_X; But yeah, I imagined my idea being something rather nightmarish...
Rather than constantly following you, i think it have a chance of appearing at random anytime near the player at the very edge of the screen. It would than slowly close in on the player or warp near the player or what ever it does. perhaps something like the boo from mario...
It could form into the shadows and come out when you're coming home with your groceries from SpaceShop, you drop your bags and everything breaks then next thing you know a slenderman is ripping at your face.
Don't worry Slendy is my friend, he wouldn't hurt m - *blood and ripping sounds* Oh sorry that was Slender Man being devoured right there.