In many horror films, toys such as dolls, teddy bears, and puzzle boxes are used as objects which the spirits/ghosts use to scare people. Some examples would be Annabelle, the crooked man musical box from The Conjuring 2, Billy, Chucky, Jigsaw... Why are they used when there could be scarier objects like knives, guns, etc.?
This great source provides some answers given by people related to horror genre (filmmakers, writers and experts).
Below are some quotes from their answers to the question Why are dolls and clowns, similar tropes that are often depicted as children or children's companions, similiarly creepy?:
Dolls are frozen in time—human, but not human. There's no life inside. There's a "dead" quality to dolls that can be creepy since their eyes are open, and they are often smiling and lifelike. It's the ultimate dichotomy that brings to mind a child's corpse.
Dolls can be creepy, because we expect them to be our playmates, bodyguards, and best friends when we are young and vulnerable. We also control their actions completely. So, for them to get up and run around the house on their own, or try to strangle us, that leaves us powerless and terrified.
It goes back to the imagination of a child, which is so very vast—because, again, a firm grasp on reality is not yet established. If a child plays with a doll or a clown as if it were real, then it's an easy gateway to bringing it to life. We were all once children and have the memories of struggling with fantasy and reality. I think it's probably often used within these films, because many can identify with that feeling.
As filmmakers, it's our job to reverse the expectation of the audience—whether that means to shock, delight, or a combination of the two. We all had one toy as a kid that we reflect back on and now appears monumentally unsettling. Plenty of filmmakers take that anxiety and amplify it with a big "what if" scenario.
This is specific to anthropomorphic toys, like dolls and teddy bears. However, all toys are inseparably related to children and children are also a common theme in horror. We generally think of our smaller versions as pure and innocent and we project the same feelings on the toys. Weapons or similar objects are generally perceived negatively. If you deal with an evil toy instead it simply adds an additional shock value.
In the modern world, nothing is more revered than children, as they are the embodiment of innocence. And for that innate innocence to be contaminated by something evil or corrupt or dangerous is inherently mysterious and disturbing.
I think at its core, horror is about the unpredictability and vulnerability of life; the knowledge that, as safe and serene as things may seem, and as much as we strive to create a bubble of safety and continuity for ourselves, around any corner and at any future moment may come death, pain, loss, psychological trauma, or another form of terror. Depictions of evil or otherwise unsettled children play into this so well, as we often view them as human life at its most "innocent" and "uncorrupted"; to see them as an agent of evil is to know that nothing and no one in life can be completely trusted. Along the same lines, children are also seen as human life at its most "cute," and so a dangerous child pushes some of the same buttons in a horror movie as would an evil dog, gremlin, robot, alien, or other exaggerated "cute" form that transforms into something dangerous.
I think the reason why is because they portray innocence. It is easier for nobody to suspect anything and therefore fear related things are hidden in them. Nobody would willingly hold a knife or gun. I have heard also that spirits need to dwell in bodies so since they can't dwell in knives or guns being objects of violence they go through cunning means like teddy bears, dolls etc. After all, who doesn't love them? Children especially.
Because of our associations.
We often associate bears, dolls, etc. with something cute - So when these things comes to our mind, we feel good.
Now, if you put these elements in a horror movie with all the scary elements, chances are that the audience will "override" the cuteness they see in these objects with horror, they will leave the movie with emotions changed towards horror instead of joy - which is exactly the purpose of these kinds of movies.