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Nightmare Fuel: Endless Ocean
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It's pitch black down there in The Abyss, with only a little bit of light coming from your flashlight in the area right in front of you; the music that is introduced in that area, Hayley Westenra's "Benedictus", is initially very quiet and tranquil, and then blasts out in a loud crescendo of brass, drums and vocals without warning; and two very large animals — the Sperm Whale and the Giant Squid — make their homes down there, and love to appear in front of you when that crescendo hits.
Praya dubia also tends to show up about that time. At least the whale and squid are fairly well-known and you're kinda expecting them; the first time you see a whacked-out jellyfish THING that you've never even heard of may freak you just a bit.
Ship's Rest is bad enough just wandering around it at night, but then when you activate the cutscene...
These games might be tough for anyone with a fear of deep water and/or darkness. Swimming out into the open and then looking straight down is not a wise decision if that sounds like you. The abyssal zones are just as bad - the one in the second game a bit less so, with a bit more light and less open space.
THE FREAKING GOBLIN SHARK!
Since you can get attacked in Blue World, the game uses a rather unnerving siren to warn you of the proximity of any dangerous creature, be it aggressive, blithely meandering, or stationary. You'll be rushing for your pulsar or the B button in no time.
When you first arrive at the Zahhab Region Depths as part of the main story. You are literally clinging to the bottom of the ocean, in the pitch black, desperately searching for the next air station, as the intense pressure is causing your air to just about speed out of your air tanks. When you find the cave you have to evict its current owner, a giant squid. And then, you find what you are looking for... The wreckage of a submersible, where the father of one of your dive partners died. Inside, you find an artifact and a letter. The father apparently spent his last moments in a cramped, non-functioning submersible writing a letter to his daughter, telling her that he loved her, among other heart-breaking things. It then mentions how he, when he is done writing the letter, will open the hatches to the sub and try to swim to the surface. From over a thousand feet down, where the water pressure will crush an unprotected human body into a fine paste. The game also takes plenty of time to pull you aside and explain with bright eyed enthusiasm how anything that dies in the ocean (and isn't eaten at the surface) will sink down here, to be picked apart by pill bugs the size of cats.
Even before that: "Uh, guys, where'd Hayako go? ... Gaston? ... Oceana, NOOOOOO!"
Just about anything big that attacks you in the sequel (mostly sharks). Thanatos and the Okeanos Guardian definitely qualify as nightmare fuel. It gets even worse when you explore their respective dive spots at night.
A cutscene triggered in the Triton Village (again, at night). You see this massive shark silhouette slowly approach you from behind at the Triton Village entrance, and it only turns out to be a harmless basking shark.
It can be very unnerving to be swimming in deep water or at night and have one of the larger creatures suddenly appear out of nowhere - like the Leviathan, who swims at a fairly deep level either by some low cliffs or out in the open. He won't hurt you, but it's still enough to make one jump.
The game mentions that the Ciceros Strait is famous for its sharks, and almost every edge of the map that goes to the open ocean has Great Whites swimming around it. Now go there at night; the place becomes lousy with sharks. Every part of the map has sharks in it, save for Triton Village. And the darkness makes it almost impossible to tell them apart, so you won't know if you're swimming towards a group of Great Whites until it's almost too late.
The Zahhab Abyss region has a rather nasty surprise for you in that respect; bluntnose sixgill sharks. They don't show up in great numbers, but the constant darkness and the disorienting nature of the environment mean that if you don't see it right away, you end up swinging around in the dark until the shark attacks you. If you don't keep your eyes on it either, it will slip back into the darkness.