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Nightmare Fuel: Ace Combat
The mission "Powder Keg" in Ace Combat 5. The vast majority of spoken dialogue is from the mission's target, a massive underground weapon storage facility, and makes no attempt whatsoever to play down just how horrible it is for the fire crews inside. While you're playing the guy bombing it.
Meanwhile, most of the rest of the spoken dialog is from the other members of your squadron, who by this point seem to be suffering from varying degrees of battle fatigue. You get the feeling that if they live they'll wind up as Shell Shocked Seniors, although as of the final mission they're still perfectly combat capable.
In Ace Combat Zero, Mission 12 seems like just another bomber intercept mission, albeit this time the bombers are carrying nuclear ordnance. At first success looks like success, all bombers shot down without any nuclear devices initiating. But then, there's a flash in the distance and the screen goes white...
The story scene that would follow that mission depicted an act of malevolence that would break any hardened gamer's psyche. The nuclear detonation you just saw was followed by six more, and all of them were dropped on civilian cities. That flash you just saw was several thousand civilians dying. By the express order of their own government.
If you played Ace Combat 5 and happen to remember the dates of the seven nuclear detonations, loading the mission and seeing "June 6th, 1995" will send a chill down your spine.
Mission 11 (also known as Operation Cannibal), where you are helping Allied forces destroy/secure a Belkan Industrial center via providing escort for bombers that pretty much carpet bombing the entire place. Keeping in mind that you are literally helping cause the deaths of untold military personnel and civilians.
Lampshaded by Pixy. "I thought this was supposed to be a precision bombing mission..." In the mission briefing, you are told that the targets are inside a city. And then your bombers get there, where they promptly start dropping bombs all over the place, deliberately trying to destroy everything. Keep in mind, this is a city. Full of civilians. And you actually get to hear some of them die, having been right next to an exploding target. Pixy and PJ are both completely disgusted.
Also in Ace Combat 5, there are the missions where you encounter the Scinfaxi. First, it manages to destroy two aircraft carriers and most of the Osean fleet. Then, you fight it again during the invasion of Sand Island. You kill it there, but hearing Kei screaming over the radio "Climb you Nuggets! Climb!" and the rest of your wingmen screaming in much the same way, then hearing the screams of terror and anguish as the nuggets fail to do so.
You see the nuggets on screen following your plane as you take on the enemy. They're still following you when the Scinfaxi appears again, meaning that if you're looking at them when the missile hits, you get to watch their planes explode and disappear from radar. All of them.
If Tear Jerker and Crowning Moment Of Awesome can also count as something scary, the mission Journey Home. Especially from the Yuke's\Grey Men point of view. After Chopper's death the rest of Wardog become frighteningly competent, killing most if not all the invading forces on their own. Mix the frightened comments on demons from the enemy forces with the game's mythology and it's a not so subtle hint that you and your wingmen are no normal pilots, you actually are demons and at this stage they took over.
Ace Combat 5's third mission "Narrow Margin", features a good bit of it in its mid-mission cutscene, when a downed jet crashes into the sea among a load of sailors who've abandoned their sinking ships, spreading burning jetfuel over the area. It's presented simply as a black screen with the sounds of screaming behind it.
Chopper: Please... somebody stop this... I can't take it any more...