The previous Stranger Things monster, the Mind Flayer, took over Hawkins by possessing Billy Hargrove and forcing the residents of the town to drink various chemicals to form a type of small Upside Down army. Stranger Things season 4's Vecna, on the other hand, is taking a completely different approach that's much more intelligently sinister and all-encompassing in scope.
The Mind Flayer is a being that wields Omnipotence within the dimensions it inhabits, such as the Upside Down, where it reigns with literally limitless power.
Vecna has the psychic ability to induce mental hallucinations that cause his victim(s) to sense and experience nonexistent phenomena that are not actually playing out in the physical world.
The Mind Flayer is an entity originating from the Upside Down, an alternate dimension existing in parallel to the human world. The Mind Flayer is gigantic, looming at least 50 stories tall, and sports a distinctive spider-like appearance. The Mind Flayer could wield supreme control of the Upside Down via a psychic link, with Demogorgons, vines, and demobats forming a shared hive mind.
While it was a terrifying antagonist in its own right (and particularly gross during season 3), the Mind Flayer's straightforward goal of breaching Hawkins and taking over wasn't particularly skin-crawling. Vecna, on the other hand, is as psychologically disturbing as he is horrific to look at.