The word nälkäinen comes from Finnish and means "hungry".
According to Tony Costa, the Nälkäinens are a kind of ghost that exists in the North. However he also tells Lyra that Tartars eat children, of which we never see evidence, so it's up for debate whether the creatures really exist or are the product of myths or fairytales.
Tony also mentions another nightmare creature called "Windsuckers". In the second and third books in the trilogy, The Subtle Knife and The Amber Spyglass respectively, Lyra encounters creatures called Spectres that seem to share some of their characteristics.