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Nightmare Fuel: Final Fantasy X-2
Near at the end of Chapter 2 has you traveling Bevelle Underground to find Vegnegun 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 Machinias to destroy you. The haunting music that places is really unsettling. After you defeated the new leader of Bevelle, you are forced to fight Dark Bahumut. Then Brother cried 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!
What's more scary about this game? Oh, right, the bad ending. If you don't defeat the second-to-last final boss, Vegnegun, under the certain amount of turns or die, Shuyin fires the cannon that completely annihilated Spira.
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*