If you read the books in the library, you learn that the worlds weren't always empty. Sirrus and Achenar murdered every last inhabitant of 3 populated worlds. These are the only worlds that they haven't completely destroyed. All of those burned out books on the shelf used to describe the other ones.
If you get one of the bad endings, the game doesn't stop. You just remain trapped forever, until you turn the game off.
The remake of realMyst throws a quote from one of the brothers at you after the scene ends, then resets the game.
Even if you get the good ending. You're still just left to wander aimlessly/forever despite there is nothing left to explore because you've already seen everything.
realMyst subverts it with the bonus Age of Rime that unlocks at the end, which also ties the game better into the plot with Riven.
Myst is fairly bright and happy, with nice ambient music. But the sense of loneliness can get to one after a while. Then there's Achenar's rooms in the Stoneship and Channelwood Ages, which are filled with torture devices. The music in Achenar's Cache has probably the scariest music you'll ever hear.
Try the bad endings of Myst with the brothers, where you return the final page to Sirrus or Achenar and get trapped forever in that brother's book. The worst part of that is that the brother laughs at your foolishness and then proceeds to rip the pages out of your prison, one by one by frigging one, while tormenting you the entire time.
The hologram of Achenar trying to speak the Tree-Dweller language in the Channelwood temple. As if the music in there, the altar that eats its sacrifices, and the masks on the wall weren't creepy enough. The music, by the way, is a remix of Achenar's leitmotif.
Atrus himself is kind of horrifying in Myst, when you realize that He intentionally trapped his two sons forever in a hellish blank landscape of nothingness forever, and when you free him and return to the library all that's left of his sons are scorch marks from where he burned them alive.
The edge on the Atrus trapped his sons thing is somewhat dulled when Atrus explains that he never intended his sons to become trapped in them in the first place, and in order to even use the books Sirrus and Achenar actually had to trap Atrus and Catherine first:
It's even more dulled by the retcon that their prisons are in fact full Ages with no Myst book (which you visit in Myst IV: Revelation), and he merely destroyed the linking books in the library
But nonetheless, where they were trapped all alone for over twenty years. The already unstable Achenar had a full-blown mental breakdown and slaughtered half of the creatures on the island before regaining his senses, several years later.
In the Stoneship Age, Achenar's room has a little hologram that starts out as a rose, to represent Sirrus. As you slide the switch on the bottom to the right, the rose slowly morphs into a skull. As if it weren't enough that Achenar had destroyed all the inhabitants of the worlds, this is pretty much a subtle way of telling his brother, "You're next."
In the Mechanical Age, Sirrus' room has a telescope that usually shows nothing. If you rotate the tower to the North, though (which is 180 degrees from where it is usually pointing, and Atrus' journal even says the South is where the tower was pointed most of the time), the telescope is now pointing in the direction where Achenar's room usually is, and a quick glance through it reveals a skeleton hanging from a ship. As if the decaying head just wasn't enough.
The cloud of death that all but wiped out the D'ni in Myst: The Book of Ti'ana.