Great play on some age-old human fears. The power of the hive mind, the loss of individuality, loss of self in the group, loss of one's own mind. The borg seem more frightening when they're ignoring the humans around them and are completely focused on their work for the collective, than when they're coming after them. It highlights their fearless willingness to be sacrificed for the good of the group, and their machine-like focus.
The first time I saw the borg I thought .. That's what code is like. It functions in line with its set of rules. If my bit of programming doesn't work it's because there's a mistake in my logic. It's not personal and it doesn't care what I'm attempting to do. It just is.