The book is full of them too. Glukhovsky has a good way of setting the mood and making use of Nothing Is Scarier.
Metro 2033 Game
The whole premise of a nuclear apocalypse driving people underground only to be hunted down like prey by the grotesque creatures that lurk in the tunnel.
And there is implications that they are all that is left of humanity. Tens of thousands of human beings, population dropping one a day to ravenous mutants.
The Expanded Universe says no. Starting from a short novel by Glukhovsky himself, set in the rural Russian Far East, to several authorized novels by different authors that are much Lighter and Softer.
The brilliant use of Nothing Is Scarier - for instance, when you are sent into D6 or the Lenin Library, both of which are scary enough on their own. One especially terrifying scene is when Artyom is recovering the documents from the military archives to get the location of D6. You sit there, helpless, watching Arty rattle through noisy filing cabinets, obviously almost as hurried and panicked as you are. You're waiting for something to happen, and, even though nothing does, it is one of the scariest moments in a scary game.
Perhaps even more terrifying is the fact that the people within Moscow's metro still engage in warfare and all of the behavior that drove them there in the first place. Makes you wonder if mankind will ever learn from its mistakes...
Nosalises are generally not very frightening in most encounters, as they attack in large, unstealthy, groups and are so noisy that they can be heard coming. However, some variants are pretty nasty - the plated variants found in D6, which just. Won't. Fucking. DIE!
Don't forget the visions Artyom faces! Sure, the Dark Ones want peace, but what they do to the player isMind Rape in the most disturbing way possible.
The Librarian mutants, no thanks to their horrifying appearance◊ and them having the strength to kill you in a few blows. Those monstrosities give Mr. Face a run for his money, which is really saying something.
Add in that it is implied in game that they are mutated humans much like the dark ones. That is just two examples, imagine how many are all over the world given the 6 billion population.
Their breathing. Those low, horrible, rattling breaths, in rooms full of holes that they can leap through, as they hunt you.
Also note their morphology. Most of the mutants are easily recognizable derivatives - Lurkers and Watchmen are rodents or possibly canines, Nosalises are allegedly moles or possibly pigs, and Word of God says that Demons are the ultimate fate of the tigers in the Moscow Zoonote Probably because their roar is actually a tiger's roar. What do the Librarians look like? Humans.
They're actually more similar to gorillas than they are to humans
The Lurker mutants◊ are no slouches in this department either. If you fall down into their burrows, the last thing you'll hear is the sound of those pink mutants eating you alive. Sweet dreams!
And if those two monstrosities weren't enough, we got the Watchers, the adult variant of the Lurker, that appear on the surface. Fighting them isn't that bad, but their howls in the middle of the radiated wasteland...
There's a reason why the locals from the Riga station don't visit Nikki to fulfill their desires. She's sexy, yes, but if you pay her, a large man will pop out of nowhere and give you a sucker punch. Next thing you know, all your money is gone.
In the Lost Catacombs level, Artyom and Bourbon run into a large room while escaping some mutants. You should have known something was wrong when the mutants refused to enter the room. Or when you noticed the room was littered with dead bodies who have not been looted.
What makes it even scarier is that there is no clue on what the hell that thing was. No other ghost, anomaly or dark one related phenomena bears resemblance to what was in that room. Like the River of Fate in Last Light, it appears to be a spot where reality simply ceased to function as we know.
To hammer home just how dangerous this phenomenon is, you are saved from it by a Dark One. The main antagonists of the game, depending on your point of view, went out of their way to rescue you from this evil door that pretty much tried to eat your soul.
...and then you think about it some more, and come to realize that the Biomass in-game is also rather intelligent as well. After all, it is smart enough to attack the reactor control room in order to stop the control rods from being raised (and therefore depriving it of power).
Going even further with that Fridge Horror: D6 was a military installation before the war, host to perhaps hundreds of workers. It's so isolated, even decades after the fact, that there are no lifeforms within its main area except for the biomass and the giant amoebas it sends after you. There aren't even rats and hardly any skeletons. That means that the only thing that it could possibly have originated from was human beings.
Human opponents have long and disturbing death cries. A sound of people coughing up their organs after a home-made black powder pipe-bomb goes off inside the bonfire they were sitting around and fills them up with shrapnel is unsettling.
The Shadows or Ghosts that inhabit some of the tunnels in the Metro, spectral shadows of those who died that relive their deaths over and over, however if they touch you, you die.
If you're paying attention during Chase, you'll see ghosts off to the side. Including the ghost of a Dark One.
Think about this. Why would a Dark One have died in the tunnels near Exhibition? The only explanation is that that's where Hunter died.
Furthermore, seeing the ghosts reliving their final moments as you walk through the tunnel with Khan becomes even more terrifying when you realize the ghosts move into the position where their former bodies still lie. A woman attacked by a mutant, and man swarmed by bats...their bodies are still there. Then you get to the subway car and see the ghost of a child attacked by the ghost of a nosalis. If you follow the ghost's position, all you'll see left of both of them is a human skull. The ghostly scream that accompanies this just makes it worse.
Artyom goes to the surface more often in the sequel. You get to truly appreciate the alien landscape of ruined Moscow as well as the crazy that inhabits it. One part has him and a companion stumbling upon the burned out wreckage of a passenger jet. There is plenty of mind screw until you get to the cabin where you encounter an eleven alarm hallucination of the plane and its passenger's final moments. Imagine being stuck on a plane that gets disabled by an EMP and coming from the cloud line at 200MPH to see a mushroom cloud in the middle of Moscow. For those with a fear of flying already, this becomes a true worst case nightmare scenario. Helpless with plenty of time to think just how you may die.
An optional point in Metro: Last Light: During "Dead City", you can see the silhouette of a corpse illuminated by a light in a piece of open sewer, and when you check on the place where the body should be, a Nosalis jumps out and scares you. But that's not it. What is, is when you get to the other side a few minutes later. You stand there, in the place where the Nosalis and the body were, and now it's your shadow on the wall. Except for a few seconds, your shadow is missing all its FLESH, leaving a moving skeleton, still wearing gear and a helmet, silhouetted on the wall.
The shadows of people in Last Light that are only visible when they are not in the center of the viewpoint are disturbing as all hell.
There are a whole bunch of little rooms alongside the tracks in "Regina", which Artyom can explore; most of them contain mutants, ammo, weapons, etc...however, the last one is a bit different. Your first clue that something is off is the bloody corpse lying outside of the door that vanishes into thin air after a few seconds, accompanied by strange whispering sounds. Go inside, and the whispering starts again, and you'll notice numerous human shapes visible only in the corner of your eye, including a hanged man. Stay longer, and the whispering eventually increases in volume till it sounds like it's RIGHT in your ear, and all the ghostly shapes fully materialise. Men are writhing in agony on hospital beds, bottles of medicine clatter against the walls, and the whole spectacle goes on for several interminable seconds before it all suddenly stops, and all the ghosts vanish. At least you get a weapon and a moral point out of the whole thing.
Spiderbugs. An arachnophobe's worst nightmare. Sure, you can literally kill them with a flashlight, but it's still nerve-wracking trying to fight groups of them in tight spaces. There are whole stretches of tunnel that they've completely taken over, where even the Nazis fear to tread, covered from top to bottom in thick webs and fleshy, pulsating egg sacs. Worse yet, Artyom theorises in one of his diary entries that they may not actually be mutants, but rather some kind of monster that's been around since time immemorial, choosing now to emerge from the darkness since mankind no longer rules the world...
Listen carefully to some of the enemy chatter, and you'll hear some rather scary ghost stories. In "Bandits", the titular brigands during the stealth section tell two such stories. The first is apparently about the Darkness anomaly that you later encounter in "Undercity"; a guy is walking down a pitch-black passage with his buddies, and they walk into a strange black cloud that disables their flashlights. He suggests that they leave, and his friends respond in voices unlike their own, saying that they'd rather stay. He uses his lighter to illuminate the area, and the mist is flowing in and out of his friends' mouths, and they scream at him to turn off the light. The guy runs away and never sees them again. The second story is about a malevolent entity called the "Tunnel Master"; those who are contacted by him suddenly say, "I've been summoned by the Master," and walk off down a dark tunnel, never to return. According to the bandits, even if you tie down someone who's been summoned, they'll simply chew through the ropes and escape.
Courtesy of the Faction Pack DLC, the Librarians are back, and by god, they're worse than ever. They've been redesigned to look even scarier, with much thicker and heavier limbs (the better to tear you apart with) and faces that look like the demon spawn of a Cave Troll and the Predator. And due to the structure of the mission (you can only get better equipment as you progress deeper and deeper into the library, bringing back artefacts to exchange for filters and weapons), it's entirely possible to run into one while carrying substandard equipment— joy.
On a related note, there is a constant moaning sound that echoes across the library basement. Whatever it is, it sounds like it is in horrific pain and makes that part of the level even creepier than it already is.
As you approach the Church at nightfall, there's this sound that could either be singing or screaming coming intermittently from one of the ruined apartment tower blocks. Although you never have to go in there, but..
The "Spider Lair" mission from the Developer Pack DLC is specifically engineered to be terrifying, and it works. Trapped in an abandoned missile silo FILLED with hundreds of Spiderbugs, unarmed, and quickly finding both of your friends dead, it really emphasises the "survival" part of "Survival Horror". Even after picking up the Flamethrower, the sheer amount of spiders coming at you in the dark while your filters quickly wear out keeps the heart racing all throughout. And in the end, after barely escaping the spiders' lair, you belatedly remember that you're no safer on the surface, and the last thing the unfortunate Stalker sees is a Watchman pouncing on his face.
Khan and Uhlman's level from the Chronicles Pack may be one of the most disturbing ones yet— quite fitting, given Khan's central role in it. The early push through the ruined train car has some really intense ghost imagery, complete with overlapping voices in your ear and shadowy specters running straight toward you, only to disappear, and ends with Uhlman falling unconscious just as he experiences a Flashback Echo of the passengers' final moments. Then, there's the inexplicable flood of rats that nearly devours the pair, which is only warded off by the return of the Anomalies from the first game. However, the worst may be the end— when Uhlman and Khan reach Polyanka and run into what might be the two ghostly Metro dwellers Artyom met in the novel, followed by an emotionally powerful extended flashback to when Khan and his friends at Polyanka were attacked by a massive swarm of Nosalises, brutally killing almost everyone in the station and forcing a desperate Khan to leave the others behind to prevent them from spreading to the rest of the Metro.
Falling into the water and getting Eaten Alive by Shrimps. You expect a typical video game drowning death, but then you see one of those armoured freaks swimming toward you, mouth wide open...
The part in "Regina", after you open the airlock and have to put on your gas mask— the silence is suddenly broken by the howl of Watchmen, a mutant you don't normally find in the tunnels. One of them spawns directly behind you if you take the left path and explore the crashed subway train.