Let me sum up what I've learned so far:

1. Call for lots of defy danger rolls if something is very dangerous. Can give the bad guy more "turns"
2. It is ok to have Hack and Slash not deal damage if it doesn't make sense fictionally. Or rather, he just rolled a defy danger strength and didn't realize that is what he was doing.
3. I don't have to let the characters go "first" even if no one is surprised. If someone is fast, he just acts quickly, immediately putting the characters on the defensive.
4. Write down moves and qualities of monsters that describe how they are hard to kill, if they are.

Thanks so much for all your help! I love the vampire lord Jeremy

In my DW game, several times I've had a big monster, described him as very scary, then seen him get destroyed really fast by the players. For example, I created a giant tunneling serpent, smashing apart a house the players were in while they tried to get away. I described him as a primal force of fury. They were scared, until the fighter jumped in, the ranger shot an arrow, and the wizard shot a fireball. He was dead.

The players stopped for a second and said, "huh, I didn't think that would be so easy".

I can describe scary monsters, but they just don't live long enough to do much of anything. It seems like if the players get to act first, and they don't fail their rolls, the scary monster is dead before it acts.

What am I doing wrong here? Any suggestions?