If the hideously mutated creatures don't get to you, the anomalies and intense atmosphere will.
Heavy spoilers below.
The Nightmare Fuel in S.T.A.L.K.E.R. for some doesn't require monsters, just realizing that this is what the end of the world looks like.
There are few video game which come close to the level of creeping, grinding dread this game and its sequels inspires. The atmosphere of crushing horror is made far worse by the fact it holds quite old fashioned views about what the average player should be capable of. In other words, it wants you dead. Very dead. Remember those other FPSes where you had limitless supplies of ammo which took up no room in your magic bottomless bag? No. Remember those games where there'd be some guy who would helpfully fill you in on the boss's weak point before you fought him? No. Remember those games where the people not shooting you spoke the same language as you? Nyet. Remember those games where you didn't have to eat, where being injured was just a reason to be slightly more cautious, and you could heal by simply walking away and waiting for a bit? No, no, no, no, no.
One of the first really "HOLY SHIT!" moments is during the first underground tunnel level. You come to an old generator room, with some anomalies pinging off in the background, and if you are looking in the right spot, you can see a pair of white eyes looking back at you as well as a huge roar that you will never have heard in-game before. The only way to your objective is where the roar came from. And it's a tight corridor around the generators. You here the sounds of the monster breathing, and getting closer, until you turn, and BAM tentacles in the face, it slashes you then turns invisible so it can ambush you again and again. And you have to get past it. For the novice stalker, this is how deadly this game is, when just one creature can rip you apart in a hurry if you aren't prepared or if you make mistakes. And considering your weapons are quite poor, it's very possible your gun and your pistol will jam as you try to fight it, resulting in you going toe to toe with just your knife, trying desperately to slash the thing to death before it eats you.
Oh, and the name of this horrifying creature? A Bloodsucker.
And then there's the implication that the Zone is spreading out beyond Chernobyl alone, and could potentially cover the planet.
Night-time in the Zone. At night, you seem to hear various noises in the distance. Not to mention the terrors that come out of nowhere. Yes, even with night vision goggles. Just sleep. There's absolutely nothing you need to do that's so urgent it can't wait until a less terrifying time.
The day-time, too. Walking through the Cordon in Shadow of Chernobyl, you can sometimes hear screaming and wild gunfire off in the distance, but it's not from a nearby group of Loners that you can runand help (or run and loot, if that's how you're playing). You might be doing alright, but other people out there are getting killed, and often. Worse, you never find their corpses, so something is cleaning up after itself.
It gets worse if you see exactly what is cleaning up after the shootings. If you linger around a battlefield too long, sometimes you'll come across some of the less-than-friendly mutants (usually blind dogs or Fleshes) eating the corpses. And then if you get too close, they turn to you. And sadly, unlike the other games, the scary part is that they DON'T stand still- and now you have a pack of vicious radioactive stick-legged boar things hunting your ass. Good luck!
The emissions. Whenever you hear the nuclear explosion-like sound, the ground starts shaking, the sky turns hellfire-red, the light getting temporarily snuffed out, the sky erupting in hurricane-like lightning storms, you have never been so inclined to run and hide like a little girl. And this is an excellent idea, unless you have Anabiotics.
It's even worse at night. You might be out for a late-night stroll, when suddenly it's noon-time bright at three in the morning. Yeah, that's not creepy. And the Tetris Effect can set in if the sunset looks just right.◊
NPC's are also affected by emissions. When an emission warning is sounded out, they drop whatever they were doing and head for anything that can function as some sort of shelter. Of course, sometimes they are too far away. They die. No fanfare, no noise, they just drop dead. On occasion, when you leave your shelter, you can go out and find the scattered corpses of the men who didn't make it.
The C-consciousness, especially when you find out that the people kept in the pods are the researchers behind the experiment and they willingly sealed themselves inside those tubes in order to take the experiment to its logical conclusion.
The First time you meet a Controller.
One particularly scary encounter occurs in Call of Pripyat. There is a small cave in the northern part of the first area that can be rather easy to miss, or mistake for one of the fissures nor far away. You go down the dark cave, when suddenly you hear from out of nowhere "LEAVE NOW, MAN". If you continue on, out stomps a Controller. Oh,shit.
When the physics engine screws up every once in a while, and instead of falling to the ground, you find your ragdoll corpse thrown back hundreds of feet into a corner, the unending sounds that play while your body is bashed mercilessly against the wall. Doesn't happen all the time, but...
Bloodsuckers are a nice way to soil your drawers, Controllers use an attack that involves Interface Screw, Snorks can be best described as gas mask wielding monkeys that can kill you easily, and then there's the Pseudogiant, whose presence is similar to that of a T-Rex, despite its accurate description (it's no larger than a buffalo). The fun part? They only account for less than 5% of all the enemies you encounter.
S.T.A.L.K.E.R.: Shadow of Chernobyl's Bloodsucker. Based upon appearance alone, these things are pretty damned creepy, as this picture demonstrates◊. But, a combination of secondary characteristics moves them out of creepy and straight into downright terrifying: 1) They scream real loud when they attack you. 2) They are hella fast. 3) They only come out at night (usually). 4)They are completely invisible with the exception of its eyes and the body's blur effect on surroundings until they attack you. That's right, unless you happen to catch one off guard (which you won't) the only thing you will see is that mother(beep) lunging at your face a split second before it tears you several new ones. If you are very lucky, you might just see their freaking glowing eyes, wandering aimlessly over the landscape in your direction before the attack comes. And the best part? The beginning area is the only area safe form these things, and they can show up anywhere. You'll just be walking along, minding your own business, dodging better equipped Stalkers and the military, when you hear, perhaps the faintest hint of movement. You stop, readying your trusty assault rifle, but no enemy makes itself apparent. You continue to press on towards your objective, when suddenly there is a bloodsucker in your personal space. Cue Bullet Spamming.
Try facing their meaner, tougher, stealthier versions in Call of Pripyat (they are sometimes called Swamp spawns). Barely visible? Not anymore. Floating visible eyeballs? Nope. Only the shuffling sound all around you, since you'll never encounter only one of them.
In the swamps, pretty much your only way to detect them at a distance is if you're standing in the water...which slows down your movement speed. So either run and hope you can catch them with a lucky burst, or commit yourself to taking a lot of damage.
There's a reason NPC stalkers seek shelter at night. Encountering one of these after sunset is the second-worst possible case scenario on CoP (the first one being stumbling upon a Chimera <shudder>): rather than just jumping you and clawing the living shit out of you, they'll sneak up to you, slash at you once for horrendous damage, and cloak again. And do the whole number all over again until you're very dead.
If they land a clear shot at your exposed back, you'll momentarily lose control of your stalker and the screen will shake: the damn thing's living up to its name and sucking off your blood.
In one area of the game, the damn thing sets a trap for you, with a dying man lying on the ground crying out for help. When you go to help him, the Bloodsucker runs out from behind you.
Not to mention the sidequest where you are tasked to clear out an entire village of them.
Or the sidequest in Call of Pripyat where you and another fellow are investigating the lair of some bloodsuckers. The worst part? You jump down a short elevator shaft in your investigations, and the only way to get back up is to sneak your way through a group of about 8 or 9 of the goddamn things, all "sleeping" yet still standing up. The worst part was your visibility meter cranked up to max when you got close, meaning they knew you were there- it was all a matter of keeping very, very quiet.
What made the Bloodsuckers really terrifying was not their invisibility, or their crazily-powerful claws, but the fact that the bastards were smart. The things will actually hunt you. They don't just go into combat immediately all the time. Let's not forget their loud, distorted and ragged panting as they chase you.
As mentioned on the Fridge Horror tab, in the Army Warehouses there's a village that's just chock full of these little bastards. In one area of the a village there's a shrine with a fire in the middle and some dead stalkers and heads on sticks scattered around. The thing is that Stalkers don't stay long in that village - because of the bloodsuckers - much less do anything more than to tell people to avoid it. Which only lets one possible builder open.
Clear Sky had some wonderful Bloodsucker moments. The first one you encounter being in the swamp area you start off in. If you wander off the beaten path and are unlucky enough, a variant of Bloodsucker will come charging you from the brush.
These guys will wreck the day of literally anyone they come across. There's a trio of Freedom guys hanging out on the outskirts of the village, and if they're fortunate, you'll happen to pass by while they're being ripped to shreds and you'll either try to save them or make sure all those useful supplies don't go to waste. In Clear Sky, when you pass through the Army Warehouses you pass through what the village used to be before the bloodsuckers moved in, or at least before they made it a permanent residence. There's Monolith guys sprayed all over the damn village. There's a merc team in the village, but the corpses are old, and can't be interacted with, so the mercenaries couldn't have killed them.
X-18 Lab (located under Dark Valley) has even its own type of monster called Poltergeist, which you meet again only once, and with ability to telekinetically toss different objects (barrels, wooden crates, etc.) at you. While alive, they look like flying electrical discharge. You might not even realize that they can be killed, that they are not just anomalies.
The environments. The dread just seeps off the walls. This is without mentioning the underground labs. They're on a level of their own. Not to mention the Red Forest.
As it was said above, this is what the end of the world looks like. Deserted, ruined buildings. Hostile, toxic environments. Traders that will charge you through the nose for medical supplies even if you're bleeding to death on their floor. Reality itself is off its meds. At best, people will be apathetic to your suffering unless you're lucky enough to set two groups against each other. You can expect the average Zone resident to try to attack you, kill you, and loot your corpse for food and ammo. There is literally nothing here that is your friend.
For a really fun time, keep watching after your character is killed by dogs, and you can watch them chowing down on your corpse.
Or after you're killed by one of the gravity anomalies. Taking a moment after you die to watch yourself explode.
People seem to overlook the fact that the whole Clear Sky faction disappears suddenly after the events of Clear Sky. The Monolith Faction seems to become proportionally more powerful at the same time, a Monolith faction entirely made out of brainwashed stalkers.
One of the most disturbing scenes in the game in spotting the monolith guard at the beginning of the red forest, spinning their head maniacally around a fire. It only gets worse when the player finds an entire battalion of equally disturbed soldiers in the middle of a destroyed theater at the heart of a deserted and radiation-filled city, doing the same around a huge sculpture of "something".
A section in Shadow of Chernobyl has the player fight through a sewer of military officers and bandits, which is chock full of deadly anomalies. This is one of the first missions. You see the exit and finally want to get out, but wait, what was that noise just the- the camera shakes, the health goes down, and you notice...Leatherface.
The underground labs: You just fought your way across an extremely dangerous area of the Zone, swarming with bandits, various mutants (including bloodsuckers and snorks), and boatloads of anomalies, not to mention the radiation. You killed the bandit leader, and made your way to an abandoned factory, to find a blast-type door hidden in a tunnel underneath it. You enter the lab, and it's about 90% pitch black the whole time. There's a dead body literally five feet from the entrance, and a skeleton in the corner. You loot the body, keeping in mind you're guaranteed to be on the edge of your 60kg carry capacity already, hear a noise, and turn around. The skeleton seems to have moved about a foot towards you. Getting goosebumps on the back of your neck, you turn back towards the staircase to see a floating crate in the air. Cue the crate smashing you in the face, taking out half of your health bar. Bandaging up, you proceed onwards to find snorks, which are the remains of a military team sent into the lab. You take them out, pushing the innate desire to shudder at their ragged, strained, barely audible breathing into the back of your mind. After navigating a hallway full of burner anomalies, you find the corpse of a scientist who used to work in the lab who has a passcode on him. Keep in mind the whole time you're being pelted with anything that isn't nailed down (literally), and the only way to stop it is to kill all of the poltergeists in the lab, which are fast moving and near-impossible to hit, much less kill, especially considering that the only light you're guaranteed to have is your flashlight. Then you encounter a pseudogiant, which isn't that big of a problem since you took an AK-74 with grenade launcher earlier in the lab. Or at least you would have, if you could carry any more. After using up what little ammo you may have left on the beast that you could hardly see, you find another passcode. After finally making your way to the room with the documents you need, you find indescribable experiments, evidently on the psyche of the human mind, going by the wires hooked up to their brains, and the Poltergeists, as well as a special poltergeist that shoots flames at you. But the fun doesn't end there, you then have to fight your way back out of the lab, through a mix of a Spetsnaz strike team, and bandits who showed up wondering what all the commotion was about. Have fun trying to get out of there as fast as you can while being unable to move at any rate faster than a hobble due to wounds and a bulging backpack. Oh, and this is your introduction to the labs.
The entire trek in Call of Pripyat through the underground tunnels from Jupiter into Pripyat. 4 squad members + the player versus: a 3-mile hike through poison gas-filled abandoned power plant tunnels, filled with hamsters, snorks, anomalies and zombies. And that's before you're attacked by wave after wave of heavily armed fanatical Monolith troopers, including snipers from walkways dozens of feet up. Did we mention it's pitch black nearly the entire time?
Just thinking about what it might feel like to get caught in a Vortex anomaly, even if it doesn't kill you. With Call of Pripyat: Complete, anything that is killed by or in a Vortex explodes in a shower of gore. Best place to observe this is when Hermann and Ozersky ask you to test a theory using a scanning device in the Bitumen/Asphalt anomaly field near Jupiter Plant. Hang out in the field and the Snorks will swarm in to attack you... it is highly likely that at least one will be pulled or accidentally run into one of the Vortex anomalies during the fight. Splat!
Seeing it happen if you're not expecting it or if you missed the anomaly because you're in a pitched gunfight is even worse. Just imagine being unfortunate enough to be nearby when that happens. Your buddy charges forward and suddenly he's repainting the walls - and you.
Call of Pripyat's X-8 Laboratory has one room in particular where you can hear what sounds like a little girl crying (in an abandoned Soviet-era lab in the middle of Pripyat). After wandering around the room for a while, you finally nail the source of the noise down to a rusty old door. On the other side is a Burer.
Worse. That lab has a secret room with three Burers. Depending on whether you're playing a mod that 'fixes' them and patches the game or not, these same Burers may be nigh invincible; even by Burer standards, as they are tough little bastards. They can see through the walls. That means as you wander around the lab, random bits of scenery will assault you with no apparent reason.
Honorable mention goes to every single other mutant in the S.T.A.L.K.E.R. series. They managed to make even mutated pigs and rats scary.
In Call Of Pripyat, Vano is one of the more friendly characters, always smiling and cheerful. In one quest, you need to help him take out some Monolith in a bookstore. As he stands outside the store, he is likely to be attacked by wild animals, so to prevent the quest from failing before you even start, the developers made him invulnerable and had him ignore enemies while he waits for you. How could this become terrifying, you ask? Look. Look and weep while you still have eyes and a soul.
The Monolith faction. Brainwashed and Crazy is a good way to describe them, though they are also religious fanatics who display a devotion to their skewed "faith" that could make the Covenant take pause. One of the crazy bastards in Call of Pripyat starts giving a sermon while his comrades start slaughtering you and your friends. As if that was bad enough, they somehow have access to the best arms and armor in the zone, including Gauss rifles.
Burers deserve a special mention. They are the Demonic Spiders of Call of Pripyat. When they were removed from Shadow of Chernobyl, the developers were being merciful. No longer. Imagine the telekinetic abilities of a Poltergeist with the mind-blast abilities of a Controller. Then give it the capability to paralyze you and rip the gun out of your hands and pummel you to death. Not that it does you much good anyway, because they can use their telekinesis to deflect bullets. And using the old anti-Controller tactic of throwing a grenade at their feet won't work either. They are fast, they could run away. But they won't. Instead, they will use their telekinesis to raise your grenade up to the point where it explodes harmlessly, just to crush any hope you had of killing them. The best solution is to run right up to it and stab it with your knife until it dies, hopefully. And the best part of it all? You rarely run into just one of them, they come in pairs.
That is, unless you encounter them out in the open fields. If you're outside of their MGS-style field of view, they will not attack and you can snipe them from a hopefully safe distance, thereby making their telekinetic ability useless. But if you happen to be in an enclosed, tightly-packed building and you're unfortunate enough to stumble upon them (which, by the way, is going to be inevitable in three particular sidequests in Call of Pripyat), knifing them is the only way to defeat them for good.
The Jupiter factory complex in Call of Pripyat. It is an insanely large abandoned factory complex with fully modeled interior of most of the buildings. The majority of the rooms have no lighting, and certain rooms in the complex have hidden anomalies in them. Due to the often murky weather and the color pallet used in the game, it makes the entire place looks significantly more menacing than it seems.
Call of Pripyat gets the S.M.R.T.E.R Mod. Does plenty of things that the other game's mods do, but comes also with the nifty little addition of throwing in Monolith troopers outside of Pripyat. Remember the old Water Treatment Plant where you had to take on a dozen mercs? Now there are twice as many Monolith forces there. The old factory in Jupiter? Used to have only a few blind dogs, pseudodogs and hamsters? Crawling with Monolith now. Going there without a metric ton of ammunition, a good armor, upgraded weapons and a hefty dose of luck is suicidal. You may turn the difficulty down just to make that section playable.
Zombie mumbling when not in combat sometimes is pretty clear, like "Soon, I will be back home... Just need to find the way..." There is still something of a person in there, locked in some kind of nightmarish waking dream. Perhaps I will send you home, brother-stalker.
In the endgame of SoC, you're fighting through the CNPP, slogging through dozens of Monolith's elite. It's dark, cramped, massively irradiated, and very short on supplies. This would be bad enough, but then you start hearing a voice speaking to you in Russian. That voice? It's the Wish Granter.
Pay attention to all of the background that you're given on the Zone in SoC. Not only does Strelok meet a brutal fate in the bad endings, but the good ending is the only one where the Zone is stopped from expanding. If C-Consciousness is still around, the Zone continues to expand.
There's a reason why some of the more horrifying mutants aren't actually natives of the Zone themselves. Those abandoned underground labs that are there? Apparently, a few ambitiousMad Scientists likely captured a few animals and may or may not had willing human beings to be their guinea pigs for their experiments. The scientists must have gone their way to creating some real Body Horror on their subjects that eventually resulted in some of the abominations that you see in the Zone nowadays. And this is supported by the bits of info that you eventually pick up when you stumble into those labs. It's probably all For Science!