The fact that in Overture several people were unable to get out of the mine before everyone else left, forcing them to stay underground, mostly in complete darkness.
The sight of the man at the end of the hallway, seemingly missing an arm is enough to make someone jump out of their seat, but the combined fact that the lights slowly go out, and then your flashlight stops working, does nothing against the surprise of getting knocked out and dragged away.
Red was trapped, alone, in a hellish nightmare, where he could eat only slugs, for thirty years, and he couldn't even kill himself. That in itself is not the true tear jerker. Red was trapped down in that mine, at the age of 14. Imagine yourself as 14, now imagine being torn away from everyone you ever knew, and experiencing what he went through. No wonder he went mad.
On one of Red's radio transmissions, he mentioned that he "ate ravenously of biped meat", described in context to be near the underground Lake Utuqaq. When Philip arrives, all he finds is a backpack with a blood puddle and someone's notes next to it.
Fridge Horror in and of itself when you consider that he might have also eaten other people as well, explaining why no bodies are ever found within the mine.
The writing on the wall in Red's room.
LET ME DIE PLEASE!!!!, Whats beyond, Red is dead, Get out of my head, Nobody to TALK to, DEATH, Poor lady
Well, "Red is dead" does provide a bit of Nightmare Retardant for those who have seen the French comedy La Cité de la Peur...
The nightmares Philip has when Clarence merges with his mind are beyond horrifying. Philip wakes up after being chased through the final room by the rock worm.
The monsters you face through BOTH games are Nightmare Fuel incarnate. Dogs, Giant Spiders, GIANT rock worms, The infected lab staff. Whooooa nelly. The things the Infected say when they find you... "YoU ARe DeaD!", "TheRe Is NO PoINt In HiDInG!", "WhO ARe yOu!?", "YoU'D DO BetTEr StAYiNg PUt..." eep.
At one point, you have to get through a door that has a pointless, but interesting medical scanner. This doesn't seem important until you find out that the infection has progressed so much, you are read as a non-human sample.
Nightmare Retardant can be shown if you use the severed hand on the scanner, displaying "Subject critically ill, please contact medical staff."
Anytime you have to put the gas mask on. It limits your vision to about a third of the screen and you constantly hear Phillip's heavy breathing while wearing it, so of course you'll be expecting the game to throw an enemy at you in this situation...but it never happens.
The Kennel, which contains such wonders as constant dog growling (that quickly becomes Paranoia Fuel if you've played the first game), bloody pawprints all over the ground, dead dog bodies, and the insane caretaker hiding in the walls.
Fridge Horror can set in if you dug around on Amabel's computer. There's a diagnostics program that tells you the status of the facility among other things. Communications is listed as "Internal only." Think for a minute about what this means. That means Philip's email will never reach anyone outside the Shelter, despite his efforts. Quite a Tear Jerker in and of itself.
One of the endings of Penumbra:Requiem is very vague, but it looks like Philip is back in his out-of-body experience from the beginning of the game. The white fade-out and the ringing in his ears could mean either he's now trapped forever in an infinite loop of his adventure and unable to get out this time, or waking up. The other ending is also vague as well, as after Philip "kills" himself with Red in the incinerator, we can see him breathing on the floor, and the fade-out then doesn't tell us if he's alive or not.
If Red is to be believed, Philip does die if he joins him in the fire. Red asks him to take the other option simply because it would be "Better to have a story, and end it, than never to realize it has begun."