Formal:
* Il y a un monstre sous mon lit. (Most literal translation)
* Il existe un monstre sous mon lit. (Emphasizes the existence of the monster)
Informal:
* Y'a un monstre sous mon lit! (More casual, uses slang)
* J'ai un monstre sous mon lit! (More personal, emphasizes your fear)
You can also use the more descriptive phrase "Il y a une bête horrible sous mon lit" (There is a horrible beast under my bed).
The choice of which phrase to use depends on the context of the situation and your intended audience.