I dont know why, but Ecco the Dolphin for Sega used to creep me out and depress me at the same time. Especially the sound it made when you hit a jelly fish
I couldnt play through the school level in the first Silent Hill. It was too scary
There was this beginning animation of Ryu standing in the dark and punching at the screen in one of the versions of SF2. I remember it scared me so much i couldnt even look at the screen