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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.