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Nightmare Fuel: ICO
The Shadow monsters. Good god, the shadow monsters. They come out of nowhere, swarm you incessantly, and try with mind-numbing determination to take Yorda away from you. A single hit knocks you on your arse, and Ico just lays there for a few seconds, gasping in pain. Meanwhile, the shadow monsters grab Yorda and begin dragging her away to the portal. And if they do, its over for the both of you.
The worst part of it is how damn smart they are. They come at you from multiple directions and dimensions, flying around to get a better shot or flattening to shadow to wait for an opening. They work together, smacking you in the back while you're focused on another target or blocking your way as you chase after Yorda. They use tactics, dragging Yorda to the farthest portal so you have to fight them all to get to her, or waiting until your back is turned to come at you. And they never, ever give up.
The shadows are the souls of horned people entombed alive in the castle. Including children.
The ones in the pod room are different to those seen in the rest of the game. They're child-sized and shaped, aren't interested in you, and only want to look at the petrified Yorda. But you have to kill them anyway.
Ico's intended fate at the beginning of the game. He's not only condemned to a tomb but also shackled. Alone and trapped in the dark, with only luck saving him from either suffocation or dehydration, whichever came first.
The walls of the tomb room are packed full of identical pods, indicating that Ico's intended fate isn't exactly unique.
The Queen herself. Just the idea of someone commiting such horrible actions with no remorse is quite frankly terrifying