From the first game, the final boss, where you fight that thing responsible for sucking up all the sea life: A twenty-meter-high, disembodied alien head which you are required to gradually mutilate to pieces in order to win.
The whole game could be considered Nightmare Fuel, with the tiny, minimalist background music and mile after mile of bleak, cold ocean which poor Ecco is required to quest through. The sense of crushing loneliness that starts to set in after a while is bad enough on its own... but then it gets broken in the worst possible way, by bouts of heart-busting terror as killer sharks or giant trilobites blitz onto the screen from nowhere and devour you in one bite.
Not to mention that the whole time you are under the constant threat of drowning to death.
Music like Sea of Darkness doesn't help either. The crushing loneliness described above? The soundtrack nails it in nonstop, overwhelming, cold, bleak music.
The Dreamcast/PS2 revival also brought its nightmare fuel moments. Now that you were in 3D, the horrors of the ocean could now silently swim up behind you before lunging at you, oceans are deeper and darker than ever before and the threats are bigger. The second level has you face off against a shark when you have to claim an item from his mouth.
The top comment says it all: "This is the sound of a mind falling to pieces."
As well as the Womb Level that's the last boss. You have to destroy the Foe Queen's heart. From the inside.
There's also the levels it takes to get there; you begin by going into the Queen's hatchery area where she lays eggs, then get inside her body via the...egg-laying organ, then tear a hole in her body as you escape. Then you change into a small fish and burrow into her ribcage.
In one level, you have to go past a huge octopus sitting in an almost completely blacked-out cave. In the following level, drowning suddenly becomes a much more immediate problem and a giant eel hides in the ceiling so that it can eat you if you forget where you're swimming. One or two tunnels lead to brightly-lit pools, and it can be very hard to bring yourself to leave them in order to beat the level.
The "Tube of Medusa" stage from Tides. You're suspended sky-high, floating in water tubes, and desperately trying to out-swim a gigantic jellyfish. You can't defeat it, only run away before it hits you and tries to knock you down to the previous level. The creepy music doesn't help matters.
Welcome to the Machine. Not only does the machine feature a pukish green background and some really unnerving music, but it's also pretty long, even for a level with automatic scrolling, and you're being accosted by chitinous beasts that lunge at you from inside walls where you can't even see them coming. Not to mention the fact that if you don't correctly keep up with the scrolling, the machine will crush you, turning the entire screen red.
And thanks to a surely deliberate plant on the password screen, it's easy to be transported to it accidentally with no knowledge of what awaits you there.
The last boss in the first game. Imagine a giant H.R. Giger-esque alien head. Just the head. Now imagine it set against a black background, being fucking gigantic compared to the dolphin you were playing as, it could kill you by sucking you into its mouth and biting down on you, and if you were playing on the Sega CD, it looked way too good.
A common NF element for the whole series: You spend 99% of the game underwater, and most of that time you do not have anything even remotely resembling Super Not-Drowning Skills. Simply getting momentarily distracted in these games can become fatal.
The final enemies in Tides of Time look scary, and are all 1-hit kills if (when) they draw you in. Not to mention the noise they made when they detected you, and when their eyes start glowing and they start chasing you...
"We are afraid. We feel the presence of the Vortex-kind".