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Nightmare Fuel: Grand Theft Auto: San Andreas
In general, all the urban legends that the game has: serial killers with chainsaws, the killer of the hut (and indeed, is quite chilling if you get to these huts abandoned overnight in the game), Big Foot, the Loch Ness monster, UFO, ghosts, etc.. Just go at the night only to places where supposedly there are such legends and tremble.
Then there's the wheelchair located in Fisher's Lagoon.
The wilderness in general can be quite creepy, especially at night. Mainly because of a heavy dose of Nothing Is Scarier. By the time you're dumped in the countryside, you're used to there being at least some kind of background noise going on at all times, whether it's the honk of car horns or civilian chatter. But get far enough out into the woods, and... nothing. Just an eerie silence. Then a thick fog rolls in or thunderstorm takes place, and even though you know they're not really in the game, you can't help but be reminded of all the urban legends listed above.
The ghost cars, especially the ones in the Back-O-Beyond. It just rolls down a small hill, completely battered with no driver. No explanation for why it is there or how it got there, miles from any road in the middle of the woods. It isn't malicious, it gives you a free ride, but man is it creepy.
Catalina is an Ax-Crazy really disturbing, especially in his dialogues, giving some references to cannibalism and sadism. Not to mention when she rapes/tortures CJ.
In fact, it gets worse in the mission "High Noon", where Pulaski says that his mother "had most of her face hanging off". And if that weren't enough, he states that Tenpenny and the cops were mocking around with it.
Tenpenny and Pulaski are creepy in themselves. They are sadistic and ruthless dirty cops who are accused of heinous acts, including rape and murder their own comrades. There is no reason why these events take place, and indeed, they have no redeeming traits at that.
And of course, what makes them even more horrific is that unlike the gangsters of previous games, they have the full protection of the law and abuse that authority. Tenpenny and Pulaski make it clear that they can do these horrible things to CJ, his friends and his family and get away with it, because they are cops.
This also grades as Real Life nightmare fuel, because Tenpenny and Pulaski are members of CRASH, the anti-gang task force that Los Angeles instituted in the 80s and 90's. Very little of their actions needed to be exaggerated, because based on testimony from former members and victims, this is basically how a lot of the CRASH officers behaved.
You can hear a news report later that he wasnt killed, but still, its pretty bad to be that guy.
After threatening CJ into compliance, Mike Toreno eventually reassures him that if Sweet so much as gets touched, a Prison Guard will go home to discover that his wife and daughter have been murdered. It really goes a long way to show how connected he is, how he really isn't a "good guy", and how much you don't want to get on his bad side.
There is a Let's Play of San Andreas written in the POV of CJ, and his description of Toreno is not only nightmare fuel, but you can easily imagine that this is exactly what CJ is thinking. Toreno might look like a pudgy, middle aged white guy, but he is a killer far worse than anything you'll find on the streets of Los Santos.
In a cutscene showing how guilty CJ feels about killing Ryder, Cesar tells him that Ryder once tried to rape Kendl. While this isn't touched upon in the game from there on, it certainly brings a new horrific angle of CJ's childhood friend.