This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Haunting Ground
Fiona starts off the game with amnesia, in a cage, surrounded by instruments clearly used for torture and butchering, and wearing nothing more than a sheet.
Endless Zero's lyrics seem to imply Ayla wanted Fiona's azoth for herself.
Each of the stalkers fits this trope in some form.
Debilitas is three times the size of Fiona and can’t speak coherently, reducing his mindset to that of an infant. Many players seem to find his antics funny until he knocks Fiona over, whereupon he can pound her body to a pulp or pick her up in a bear hug, which breaks her back.
Daniella’s maniacal laughter and screams.
If she manages to grab Fiona’s hand, Daniella starts laughing in an odd tone and stands completely still while Fiona desperately tries to get away.
When Daniella spots Fiona, she may hiss at her.
Riccardo wants Fiona to birth him a clone of himself ("LET ME INTO YOUR WOMB!"), and then it turns out he's a clone of her father. Yes. Let the implications sink in.
Lorenzo is a dirty old man who can’t walk, but get him on his hands and he becomes the fastest character in the whole game. Then he regains his youthful appearance and can teleport right in front of Fiona. He also has instant-kill attacks.
Examine the figure sitting on the couch in the old mansion - it's a mummy. If you leave the room and then go back to it, the mummy will be in a different position. Yeah, it moved.
DEAD WOOLLY MAMMOTH IS WATCHING YOU.
For context, a room in the old mansion houses a massive mammoth that appears to have barged through a wall and died upon impact with its eyes wide open. If you walk past it while taking a closer look at its eyes, you can see the mammoth's pupils following Fiona. It's no wonder Hewie always gets uneasy in this room.
The strange hand that comes out of the crypt in the graveyard. Seriously, what the hell is that thing?!? Made even more horrifying when you give it a white mandragora and hear the thing being eaten alive. When it's done, you can hear something shuffling away... Kinda makes you not want to go down there after all.
There are two cutscenes that the player can receive after playing through the game once. The first is before the Riccardo battle, where an unconscious Fiona is being given an ovulation test by him after he’s obviously stripped her down and redressed her (in a dirty gown, mind you). The second is immediately after the same battle, where Lorenzo crawls to Riccardo’s body and sucks his Azoth out.
If you go into the kitchen near the beginning of the game, you can trigger a cutscene where Fiona watches as Daniella stirs a pot. When she lifts the ladle, a red liquid drips down from it... along with what appears to be blonde hair. Go back to the kitchen later on when Daniella isn't in there and examine the pot; Fiona herself will say that it looks disturbingly like human hair. Remember Fiona's mother? Take a moment tolet that sink in.
Even more horrifying; Fiona is forced into having dinner by Daniella, and she actually eats some before getting sick.
In the old mansion during Daniella's chapter, Fiona finds a room with a carousel inside. She returns to it after moving some rooms around to find it bloody and rusty.
The corpse in the torture room, which is apparently still alive. Go on, try to take the key from it before solving the puzzle.
Panic Mode. You have little control over Fiona as she runs around tripping and slamming into walls. There's a good chance that she'll also fall over and remain helpless on the ground for an extended period of time. The creepy voices in the background repeatedly saying "Fiona" don't help. And did I mention that the screen goes black and white?
The various ambient and chase themes are creepy or pants-crappingly scary for similar reasons, perhaps even more so given the chase themes' tendency to speed up or slow down based upon how close to or far away from you the stalker happens to be at the time. Here are the four main sets:
The failed homunculi scattered throughout the castle. They are naked, deathly pale, and basically braindead. They remain stationary and merely repeat a random action, ranging from mumbling incoherently to licking the floor.
One of them will actually lash out at Fiona if kicked too many times.
There are also the "baby" homunculi, which Fiona accurately describes as looking like "fatty clumps of meat." Upon seeing Fiona, they squeak and run at her; if they manage to catch her, they hold onto her legs, rendering her immobile, and let out a continuous, high-pitched screech.
One room has several of them suspended in tanks, seemingly dead. If the player examines them and then goes to leave the room, the sound of shattering glass will be heard as one of the homunculi breaks free of its tank.
It is possible to come across one of them being cooked alive, screeching and all. A disgusted Fiona will comment that the more she looks, the more it resembles a child.
Each stalker seems to represent a distinct and dark aspect of rape or human sexuality and how various instincts and urges can turn people into monsters, desperate victims, or both. They all desperately want something from Fiona physically.
The most common death at Debilitas's hand is a bear hug. If Fiona doesn't break out of it or Hewie doesn't stop him, Debilitas snaps her spine, killing her, after which her body will go limp and slump over his shoulder.
Daniella represents sexual jealousy and repression. She also acts out of physical (and quite possibly sexual) abuse at the hands of Riccardo. She is so desperate to become a real human woman that she attempts to rip Fiona's "womanness" out of her in an extremely brutal and gory way.
Riccardo does not see Fiona as an actual human but rather an object meant to receive his "seed." His intentions towards Fiona are arguably the most sexual in nature of all the stalkers. Additionally, he wants to take Fiona's Azoth, which could be a metaphor for her virginity or innocence.
Lorenzo's motives are quite similar to Riccardo's, although he seems to place a particular emphasis on gaining power. He intends to hunt down a very non-consenting girl and forcibly take her Azoth for himself. Similarly, a rapist often does not rape for physical pleasure, but because sexual assault is physically and emotionally devastating for the victim while it gives the rapist a great degree of power.