This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Final Fantasy X-2
The end of Chapter 2 has you traveling Bevelle Underground to find Vegnagun and destroy it. If you side with their enemy, you'll have to fight the soldiers. Just when you get Underground, the alarm blares, signalling their security Machinas to destroy you. The haunting music that plays is really unsettling. After you defeat the new leader of Bevelle, you are forced to fight Dark Bahumut. Then Brother cries out to Yuna that something bad is happening at Spira. That's the end of the Chapter by the way.
Chapter 3 has you fighting Dark Aeons. While their appearances looked evil, so is the boss fight music, COMPLETE WITH SCARESTRINGS!
Final Fantasy X-2's Bonus Dungeon, Via Infinito, has Elder Drakes which can wipe you out without breaking a sweat unless you've been Level Grinding like mad. Normally, this wouldn't be a problem, as there's always the Flee command... except, it doesn't work on fiends you can see before you fight them. You have to time your run perfectly to avoid them, and they keep jumping out at you — and the noises they make as they pounce... *shudder*
What happened to Shuyin. Following the defeat of Zanarkand, the poor bastard spent the next millennium being forced to relive his death and the death of his lover. Over and over, without a break, for a thousand years. Yeah, you can understand why someone might want to reduce the entire planet to ashes after that.
The Den of Woe is terrifying. As if the name didn't clue you in. It's where Shuyin's malevolent spirit resides, after the aforementioned events. It's said that soldiers literally go mad in there, killing each other. This only almost happens to the members of the Crimson Squad. But think of how many others weren't so lucky. There's also the fact that when the YRP go down there, the pyreflies cause the girls to turn on each other. Yuna is forced to fight both Rikku and Paine, as well as ghostly echoes of Nooj, Gippal and Baralai.