The nightmare/hallucination sequences from Max Payne, which include such gems as: the terrified, pleading and weeping voice of Max's late wife Michelle; the baby crying (and screaming at one point if you fall during the second sequence); creepy music box music; the door from the bathroom being boarded up violently; and lots of creepy imagery, including a cradle on a red floor surrounded by candles like a demonic altar.
The scream is actually from a parody of Twin Peaks that is briefly seen in the game, but it's horrifying nonetheless.
In that vein, the extremely surreal and abstract sequence of the second nightmare, where you wake up in Punchinellos burning office, and find yourself confronted with a ringing phone and a paper on the desk. When you answer the phone the first time, its simply gibberish on the other end, but the second time, a voice is beggind Max to wake up and remember where he is, while Max still only hears gibberish, as the phone turns into a gun... And the document on the desk respectively tells Max that he's in a video game and a graphic novel. It might seem silly, but in the context, its terrifying. Subconsciously, Max KNOWS he's a simple puppet, and all his suffering is merely to set a backstory for the players.
The halllways twist and the walls change. THE WALLS CHANGE! It's... wrong.
The blood trail sequences are "limbo in a video game."
The hallucination level where Max has to follow the trail of his own child's blood to the room where said baby was brutally murdered. What makes the first hallucination sequence even worse for this troper is the fact that they occasionally cut to Max tied to a chair in a Mafia hideout, and allusions to baseball bats are made. A few levels earlier, we were shown the handiwork of a mob executioner who favored baseball bats...
During the first dream sequence, when you reach the corpse of the baby, her arm is still moving.
On top of Ragna Rock and Lupino both being super-creepy, the boss fight itself is a nightmare. For starters, Lupino can absorb a ludicrous amount of lead, and the game does not yet provide you with the heavier hardware. On top of this, mooks spawn during the fight to take you on from all angles. Mix these two together and you get a nightmarish combat sequence ahead of you.
What about Vinnie Gognitti's death scene in the second game? Being forced to watch him, in anoter nightmare, no less, being put through a trivia quiz on his favorite TV series with his life hanging in the balance, by the guy you considered to be your ally through most of the game? And the just stand there helplessly, as he gets his head blown off, while he begs for his life? Classic.
The loading screen for the Prologue of 'A Bit Closer to Heaven'. It sticks around in the quit screen as well.
At the climax of the Panama mission, Max discovers the corpses of the ship's passengers heaped on the roof of the museum, surrounded by a massive pool of blood. It becomes even worse when you think of what they must have gone through before they died. They were most likely marched up to the roof, pleading for their lives before being gunned down by the pirates. It gets worse when you realize that it was all because Marcello and Passos hid the blood money from Victor's organ harvesting ring within the ship, most likely without the boat's owner even knowing about it.
The Imperial Palace hotel, all of it.
Victor Branco's operation involves rounding up the poor and impovershed and harvesting their organs.
As frightening as that is, it's how Max reacts to the discovery of it that is most telling. This is a man who has seen his wife and his baby girl dead, seen most of his friends die in front of his eyes and came face-to-face with the screwed up truth behind Valkyr. He's so horrified it takes him a while to comprehend just what he is seeing when he stumbles across it.