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Nightmare Fuel: Fatal Frame
The entire series, but especially the first game. The ghosts are more than enough to provide endless nightmares, but then there's the audio tapes, and the very concept of the Rope Maiden...who is tied down to a stone altar by her wrists, ankles, and neck, and then savagely torn apart in order to maintain the seal on the Hellmouth under the mansion.
Just read the game cover of the first game: "BASED ON A TRUE STORY". The mansion in the game is based off of an actual mansion in Japan that is supposed to be haunted.
The audio tapes are more unsettling than anything else, mostly because of the robotic-sounding voices.
Broken Neck Woman, who haunts the mansion by floating backwards, but her head flops over and she stares at you upside-down.
Crawling Girl, who was pulled under the tatami and beneath the house by the Long-Armed Man, where he strangled her to death. Her ghost now crawls around on the floor of the Doll Room.
Girl in the Well, another one of the Long-Armed Man's victims, was pulled into a large stone well and drowned. One half of her body is horribly disfigured by being dragged against the stones.
Boy Hiding, the third victim of the Long-Armed Man, was pulled into the fireplace and strangled.
The Long-Armed Man is freakishly mutated, shambling around in a crouched position and then suddenly rearing up just as he attacks.
Blinded Demon was a sacrificial maiden who had a demon mask placed upon her. The mask was fitted with large iron spikes through the eyes, which were driven into the maiden's eyes by force. Now she roams the mansion screaming "My eyes! My eyes!" while bleeding from the sockets.
Additionally, scores of visitors and inhabitants of Himuro Mansion, all of which suffered horrible, gruesome deaths at the hands of the master of the manor, even the children.
Lord Himuro. Arguably The Dragon to Kirie, he is a sadistic samurai who donns a Hannya mask and is forced to sacrifice people in order to keep a nearby portal to the underworld firmly closed off to demons. After the breaking of the seal, he slaughtered and beheaded everyone. The fight is just as horrifying, with his soulless eyes, the eerily-grinning Hannya mask, the four monk heads he sends at you occasionally, and instead of trying to grab at you like the other ghosts, he tries slashing you to ribbons with his katana... his ghost katana... whatever, as long as you remember that everything's better with katanas.
There's one scene at the beginning of Fatal Frame II where Mio is standing in front of Mayu, and you can only see Mio in the shot. Someone puts their hand on Mio's shoulder, and while innocuous enough, you just see Mayu walk past her. The hand is still there.
You can find a figure wrapped up in blankets sitting upright. Mio will wonder if it's a doll, but after you inspect it and walk away, you'll hear a distorted voice say "Stay with me..."
Sae's laughter is pure Paranoia Fuel, especially when you hear her behind doors but she's nowhere to be found.
When you go to Itsuki, the only person in the village who doesn't want to kill/mame you, for help, and his window is closed. So then you finally go into the locked building...and see his lifeless body hanging from a noose in a vision! What's worse, if you then check the window from the inside, it says that it is rusted shut and hasn't been used in a very long time.
Peeking Child and No Escape. The first because he jumps out at you when you're already fearing Sadako look-alikes and the second because she ALSO jumps out of nowhere and her face is all cut up and bloody.
The Kiryu twins. Particularly when you're looking for the crests to escape the village, and you have to go into a small closet to retrieve said crest. One of them is in there. You can hear her neck snapping and popping.
Fallen/Falling Woman. She died running away from the Darkness that seeps from the Abyss and ended up killing herself by jumping from the top of the stairs in the Kiryu house's Clock Hallway. She has a tendency of appearing by screaming and falling through the ceiling whenever you go through the room. She can also show up in random hallways, so don't be surprised she happens to plummet right in front of you.
The game also plays a mean prank on you after your first encounter with her. The first time you go into the room with the stairwell after fighting the ghost, a small piece of wood comes loose falls to the floor with a small clatter. It's harmless and really would be an extremely minor scare if not for the Fallen Woman still being fresh in your mind.
The "Frozen Butterfly" ending for the Deep Crimson Butterfly remake. We finally see just how crazy Mayu is over her sister... and it isn't pretty.
At one point on the second floor of the Tachibana house, there is a secret room/storeroom Mio can go into. Entering will trigger the sound of a girl saying "Help me" over and over again. When you peer through the camera, the otherwise blank walls have the same characters in Japanese written everywhere. Attempting to leave results in the door being locked. About two minutes inside leads to the voice fading and the door opening again. Nothing attacks you, and there is nothing in there. It's simply a room to freak you out.
In Fatal Frame III, some of the things that happen inside the house can make you afraid to sleep (there is an arm under the bed) or to even go to the bathroom (there are Needle Women hiding in the mirror to come out and attack while Rei is showering).
Think of the fate of the Tattooed Priestess and then look at just how many of them there are in the Chamber of Thorns and realize that all of them are fated to sleep for eternity and none of them actually get happy dreams because of the tattoos that they bear. It gets worse with the fate of those that failed: they're skinned alive and their body is sent to cross over, while their skin is enshrined and prayed over to keep the sorrow from spilling out.
Only the dream world contains any ghosts. At first. They do numerous creepy-to-terrifying things when they start invading Rei's house, but the one that sticks with this troper is one of the low-key, quiet ones: at some point, if you pay attention, you'll go into Rei's bedroom and see a pale, slender arm sticking out from under her bed. When you approach, instead of simply vanishing like many of the ghosts do, the arm slowly and silently pulls itself under the bed.
Needle Woman: They love to sneak up on you while you're in Camera Mode so that, when they attack, all you see are their hands that (of course) have needles sticking in them wrap around you.
Woman Brushing: This ghost is creepy on her own, but she has one choice moment: at one point, when you enter the Kimono Room (her usual haunt), you find her crying behind a screen. She won't attack you, so obviously the smart choice is to take her picture, right? She fades away and reappears RIGHT IN YOUR FACE! The fact that she's constantly smiling at you makes it all the more unsettling.
These games love their doll scares. In one room of the Manor of Sleep is a regenerating Type-14 film. Right next to the film is a toy doll that you expect to do something but never really does. Try looking at it through the camera, and proceed to have your heart stopped when its head moves to look back.
The fourth game repeats that trick in chapter five. When you're in the room with a mannequin and coffin, try looking through the view finder with the mannequin centered in the frame. Its head promptly turns to look at you.
Especially just after the second or third night when Rei wakes up after having subdued Yoshino, only to look to the side and realize she's right there. Also, the bit where Kei is in the Thorn Room and the stakes holding Reika to the ground suddenly begin to pull out, followed by the end where Rei is there, and Reika gets to her feet in the most unnatural and creepy way.
You can walk into a specific closet in the Manor of Sleep to collect an item, but when you turn around to exit, the door slams shut. Faces and hand prints appear on the walls and ceiling accompanied by horrible moans... After a few moments the sounds are abruptly cut off and the door opens again while a terrifying woman's voice asks "Why are you running away...?"
The fact that most of the third game takes place inside of dreams. Imagine going through the death of a loved one and feeling horrible about it, go to bed one night, and then start having dreams about a snow-covered haunted manor that traps you if you follow your beloved loved ones further into it!
Not only that, the descriptions of some of the house ghosts serve only as Paranoia Fuel for the player, in particular the Woman Under Desk description:
Have you looked under your desk recently? Maybe you should check more often.
Fatal Frame 4 has Ayako's room, with its eerie yellow glow, doll parts hanging from the ceiling, and the whispering and laughing that can be heard in the background. And then Ayako herself, who, at the beginning of your first battle with her, appears by jumping down to grab you by the shoulders. Never mind the things she's done to the other patients and even the nurses in the sanatorium...
When he enters the painter Yukou Magaki's room for the first time, he seemingly trips over something in the messy room. Turns out it's actually Magaki, crawling on the floor and grabbing his leg. He's just as happy to see him, not.
And some of the music in the fourth game is just plaincreepy.