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Nightmare Fuel: R-Type
The R-Type series is perhaps one of the darkest, creepiest Shoot 'em Up series around.
In R-Type Final, one ending features the player's ship being possessed and turned into a hideous organic blob by the Bydo. You proceed to fight your former comrades, with the final words of the game stating your pilot never even realized what had happened.
"Why are the seabirds the only ones happy to see me on this beautiful summer night?" - Recovered Voice Recorder
When you start the first stage, that weird thing that goes zooming past you? That's your future self mentioned above.
R-Type Delta's final stage: the background is a constantly shifting mirage of all of humanity's accomplishments, fading away as though they are nothing. The enemies include giant sperm, blue-skinned, red-eyed babies encased in crystals (complete with a baby-like cry when they appear on screen), and giant regenerating strands of DNA. All with a very creepy vocal track. And if you're playing as the R-13? You get stuck in this nightmarish dimension and are forcibly transformed into a Bydo. Only to be killed later in Stage 3.5 of R-Type Final. Somehow the stage manages to be worse than the actual nightmare the pilot has earlier in Stage 5.
Part of that stage is copied from the final scenes of AKIRA. This is not a good sign.
For that matter, the origin of the Bydo: the games' story makes it clear that future humanity made them, which is bad enough, but if you examine the supplementary material, it reveals that the Bydo are human! More specifically, they are what humanity would become if reduced to its most base and evil instincts and left alone to fester and evolve for millenia. They are actually physically incapable of feeling any kind of positive emotion. Future humanity engineered them that way deliberately.