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Nightmare Fuel: Baldur's Gate
The dream sequences, in which Irenicus gives you increasingly dark and morbid Breaking Lectures. It becomes even worse when you find out the Irenicus that talks to you in your dreams isn't Irenicus at all. Its Bhaal himself, trying to goad you to The Dark Side.
Anyone familiar with the dream sequences of the first game will likely find the second ones lukewarm at best. The dreams you have in those are much more symbolic, but backed by the narration of Kevin Michael Richardson and an excellent background theme and can be quite freaky to the unprepared, especially if you haven't already been spoiled as to their nature.
If you visit the Temple District at night, you'll run into a Shadow Theif. He won't attack, but he will start babbling a deranged "song" when you speak to him. It sounds like the typical ravings of a madman at first...then the song describes how an innocent man was forced to watch his friends and family be butchered because he refused to get involved in the current guild war. The song suddenly becomes much more chilling when you realise who the song is describing.
"You can't hide! War will find! YOU CAN'T HIDE! WAR WILL FIND!AHAHAHAHAHAHAHAHAHAHAAAAAAAA!!!"
Your second visit to Candlekeep in the first game when everyone's been replaced by dopplegangers.
Even better, even better, when you get to the end of the catacombs, Gorion shows up and tries to convince you that none of the dopplegangers were real, and instead you just murdered all of your old childhood friends in a bout of insanity. Of course, he turns out to be a doppleganger, too, but it can really mess with your head for a brief moment.
For a mixture of horror and Tear Jerker, find Captain Brage and right click on him to hear a mixture of insane laughter and broken sobbing.
Take a closer look at that bandit camp. Apparently they decided to decorate their camp with rotting corpses.
The cries in the Fear Test in hell in Shadows of Amn.
The Underdark. An enormous sub-terrainan world filled to the brim with beings so dangerous and evil that it can compete with the lower planes.
For extra scary points, try bringing Aerie there. Aerie, like all the Avariel, is claustrophobic. Upon realizing where she is and that there's a very good chance that she'll never see the sky again, she suffers a Heroic BSOD.
The wraiths in Throne of Bhaal. These...things exist solely to torment anyone they encounter by reading their minds, taking on the forms of their deceased loved ones, and then reciting all their deepest doubts, fears and failures to them, all the while "reminding" them how said loved one's death was their fault. It's borderline Mind Rape, and is enough to drive Jaheira to near-tears.
The wraith is particularly brutal with Aerie. It will make her think that her mother has been killed while searching for her and she will believe it for the rest of the game. Talk about trauma.
Irenicus's lab may become tedious in later playthroughs, but it's chillingly terrifying the first time you go through it. You've just recently escaped after weeks of torture and are now wandering around, no weapons, no armor, no spells, no companions except the equally weakened Imoen, Jaheira and Minsc. You have no idea where the rest of your friends are or what befell them. You have no clue what's going on, where the resident Mad Wizard is or when he'll be back. It's eerily quiet. And every door you open reveals horrors worse than the last. Brrr....