This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Grand Theft Auto IV
There's a reason they don't give tours of the Statue of Happiness.
There is something really disturbing about the dark atmosphere of the game. In contrast to the bright colors of the next game, there's a bleak, eerie atmosphere, even in the daytime. Of course, this only makes it more disturbing to explore the abandoned places of the city.
In the game files, several unused death sound files are found, and they are ominous sounding versions of the main theme.
Niko's backstory is very horrific. He talks about how he went into a church and saw fifty dead children with their hands chopped off and their throats slit.
We never saw flashbacks, but it is very clear that he witnessed extremely awful things such as child murder, mutilation, torture, rape, and having witnessed the murder of his own comrades.
This also grades as Real LifeNightmare Fuel: Niko fought in the Bosnian and Yugoslav Wars. Nothing is exaggerated, because based on testimony from war veterans and victims, this is exactly the kind of things that happened in that war.
Niko Bellic himself is a walking, breathing Nightmare Fuel. During the events of the game, Niko has a well-deserved reputation as someone who can and will break your arm if you make him angry or he will do everything possible to go for you and kill you if his bosses order him. Not matter if his target has at his disposal dozens of henchmen, he will kill them all and he will find his target, almost as if he's supernatural! He is also a Genius Bruiser, knows military self-defence and is an expert in survival and weapons. When you think about it, he's even more dangerous than Trevor Philips.
Exploring abandoned apartments and buildings can be quite distubing, especially at night.
The building across the street from the Bohan safehouse have to be one of the creepier places in Liberty City. It may be the weird writing on the walls, or the distinct lack of human life in there, since pretty much every other apartment in the game has people hanging around in the halls. It's odd you can even enter the building in the first place when there's seemingly no purpose for it. Whatever the reason, the deeper you explore into the building, the more you feel like you'd be safer with your assault rifle/shotgun/RPG out. Even though the building is completely vacant, you may find yourself fearing that something is in there and that your military-grade arsenel won't protect you this time. That's right, this building is the physical embodiment of Empty Room Psych.
There are a few other locations like this. The tall + shaped apartment block near where Elizabeta lives is many floors of empty corridors, and eventually the stairs are blocked off, although there is another way up from this point, however. Once you reach a certain floor you will be running for the roof, which luckily you can escape onto.
Dwayne's apartment is a very a disturbing place to explore. Here we can find strange symbols, a graffiti saying "Welcome to Hell", writings of the previous GTA protagonists, and rooms stained with blood. What the hell happened?!
The abandoned Sprunk Factory; a moan heard occasionally when you fire your gun gave rise to rumors of the place being inhabited by a ghost. It's been chalked up to either homeless people in and around the factory or the bouncer at the nearby Honkers, but that doesn't change that the place is just plain spooky (especially at night) due to a heavy dose of Nothing Is Scarier.
The underground subway tunnels you can explore in Algonquin. Very similar to the empty apartments you can find around the city with an added dose of Nothing Is Scarier. Near the intersecting tracks at the mid point of the city, there is a large camp of tramps taking shelter in what appears to be a large site of waste. And on top of that, the sound of a train arriving or hitting into you, leading to instant death.
Mikhail Faustin is a generally frightening invididual during his Ax-Crazy moments. During his first appearance, he kills his own underling just to prove a point to Niko.
"Hostile Negotiation" in general. Niko's cousin is kidnapped and presumably tortured, and Niko goes in pure rage during the rescue. Imagine if your cousin gets kidnapped and had to fight all the way through without help. It is probably one of the darkest moments in the game. Also doubles with Tear Jerker.
The very moment Niko sees the picture of Roman bound and at gunpoint in Dimitri's message... he immediately loses it.
During the mission "Taking In the Trash", one of the Pegorino soldiers you're working with tells a story about Ray Boccino's temper that's downright chilling.
Niko: He has a temper?
Luca: Are you fuckin' kidding me? The manager of one of his waste depots was holding out on profits a couple a years back. Ray fed him to a dump truck. There was this point where the sound of his screams stopped, and all you could hear was his bones crushin', then the pop of his skull goin'. I nearly lost my lunch.
Deal ending. If you pick this ending, Dimitri betray you again, Roman gets shot at his own wedding and Niko goes into a Heroic B.S.O.D., clearly distressed of his cousin's death. Thankfully, Dimitri gets his comeuppance, but is still a very horrific way to end the storyline.
Eddie Low, despite being easily killed (as he's going up against a former soldier now "problem solver") was an absolutely horrifying, demented person, such as when he has Niko take him to a place to drop off what is not so subtly implied to be the head of one of his victims, or when he decides he wants to hear some Algonquin screams tonight now that he's heard enough Alderney screams.
The peak of the fear is reached when he's losing his temper just before he attacks Niko.
Eddie:Not COOL!? You say Eddie's not cool? I don't fit in with the "In-Crowd?" Well Mrs. Smith, Eddie's taken your star son, your prized little quarterback, and FUCKED HIM IN THE ASS, and then tied him up, strangled him into knots, and your daughter? Your pretty little daughter Mrs. Abrahams? Eddie's ripped out her intestines just to see if he could feel anything, and you know what? He couldn't...h-he couldn't...
And then there is Jeff. At first it's pretty funny. Jeff's a man who thinks his wife is having an affair. Seems legit, until you actually follow her to her destination. Turns out, she just wants to talk to this guy about her husband, who wants to install a tracking chip at the base of her skull which may paralyze her. 'Course, the guy is only half listening and does want an affair. So, you take a picture, he rants and raves, job done and a couple of hundred dollars. Then Jeff calls you again. He's murdered her. Stabbed her "fifty fucking times" and is so crazed he nearly shoots her corpse. Then reveals that she and him have a son. It's hard not to feel like you had a hand in murdering this truly innocent woman.
To make matters worse, Jeff dies in the final mission of his. Poor son of theirs will have to go around with no father or mother, unless he gets very lucky.