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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*