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Nightmare Fuel: Devil Survivor
The premise of the game is horrifying: you are trapped within Tokyo with little food or water for an entire week while demons roam around doing as they please?
The humans are far more frightening than the demons. It takes less than a week before they start to use demons to get what they want. Even the police aren't above killing to survive. With the concepts of law and order gone, some of the police officers take advantage of their positions and their COMPs to murder some civilians.
If you look closely and think on it, they're all expies of Adachi.
Adult Fear: Everyone, including children, are trapped in a military circle with no way to leave without being killed by said military.
Keisuke after he gains Yama and decides to judge the guilty. His actions are reminiscent of Shin Megami Tensei's typical Law alignment. His sudden shift from "quiet and reserved" to "so full of rage and hatred you can see it on his face" is pretty terrifying.
This game shows the truth of what would happen if you gave humans access to powerful Mons. The result is not pretty.
Part of what makes Devil Survivor so dark and horrifying is that it treats the Lockdown's effects on Tokyo extremely realistically. We are shown in graphic detail how one of the largest, most populated cities in the world is completely cut off from the outside world. Food and water begin to be in short supply on the first day, and by the third day, any forms of supplies are virtually nonexistent. The SDF are utterly unable to contain the increasingly desperate and volatile citizens, and by the fourth day, mass riots ensue. Even from the second or third day, increasingly simple access to easy summoning devices has transformed Tokyo into a warzone. Let that sink in. It takes Tokyo's society less then a week to descend into complete anarchy.
At one point in Devil Survivor, you are allowed to do one of three things with Haru after she runs off on her own, after she hints strongly that she plans to commit suicide. At a specific time during the day, you can choose to ignore her and let her commit suicide, talk to her and calm her down, or... talk her into it, and affirm that she is indeed worthless, her despair is her own fault, and her situation is impossible, and it's hopeless, and everyone is going to die. If you choose the last option, she will show gratitude to you, and then run off to incite the SDF into shooting her dead so she no longer is in pain. Which they do. The next day, your COMP will tell you, as part of its news, that a young girl not carrying identification attacked SDF soldiers, who were forced to shoot her until she was dead. While you never see Haru die, you do see the despair in her face right before she accepts suicide as the only solution, and, to really bring it home, her gratitude for you giving the solution she needs to ending her impossible guilt and sadness is genuine. Have fun trying to console the already-hysterical Yuzu after that, because she will never let you forget it.
The best part of all these? Go to Stepford Smiler page, then go to the Real Life section, read somewhere on the top. Yet another horrifically realistic protrayal of nightmares.
The Escape/Yuzu ending. Yuzu is so broken down by everything you've gone through that she begs you to Screw Destiny and break through the lockdown, despite knowing the consequences. "There's no way they would go that far, right?" During the escape attempt, you're pitted against all the defenders while desperately trying to stop what's coming. And when you make it out... you discover the world outside's no better. Congratulations, you just personally ushered in a Crapsack World! To top it off, formerly stoic Honda is so completely broken that he thanks you for creating this new world, sporting a Slasher Smile the whole time.
Thanks be to the cartoony graphics, you'd be fooled into thinking this game dilutes most of it own horror. Not really. You get to watch many people getting murdered, parts of the city start resembling Fire and Brimstone Hell, and the monsters that started off cute gradually start getting more and more nightmarish in appearance. Also, add in the fact you have a literal Death Clock hanging over the heads of EVERYONE that most have to fight unspeakable horrors to prolong for brief stretches of time, AND the facts that the Japanese government is planning to microwave the entire city population into melted goo just to stop a demon invasion, the demons want to extend their dominion to the entire planet, and the angels want to do the same. All the above said, this is one terrifying game, and the worst part of all... is that this game somehow got past the ratings board with a Teen rating!
The way the government would deal with everyone within the Yamanote loop, if the demons cannot be retained or destroyed. They'll use the UEM field, which would basically cook you alive.