Part of Sephiroth's coolness comes in the mystery surrounding him. With Kefka, you already know what you're getting, namely an insane clown who has some funny one-liners. But considering that throughout FF7, you're not quite sure about Sephy's background, plus Cloud can't get his memories straight, and Sephy has a knack for just randomly appearing in places and uses some pretty serious powers over time. It makes you feel like you really don't know what you're up against, and while you know you have to fight him eventually, you're afraid of what you'll find when you get there.