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Nightmare Fuel: Shadow Hearts
The Shadow Hearts series attempted to combine survival horror with an RPG. The result are more than a few horrific moments.
The monsters from the original Shadow Hearts. Extremely disturbing; instead of the usual "giant whatever, robots and ninjas" trifecta of Japanese RPGs, these were usually made up of human body parts re-arranged in a variety of unpleasant ways, and/or moving in very jarring ways. The sequels were generally lighter in that regard, but there are a few notable exceptions, such as the giant spider with fingers for legs from Shadow Hearts Covenant.
Every game has a "Library" mode, where you can usually read the very disturbing history/fluff text of every enemy you encounter during your journey; this is but a few:
Mailman: Ghost of a postman who ate all the dogs in town. He despises his own form. His kicks are powerful and unpredictable.
Echidna: Otherworldly snake that swallowed a pregnant woman whole and absorbed the fetus into itself. The human half is in agony and screams constantly.
The first few hours of the original game does a pretty good job at establishing the tone and setting for the entire game.
Zhaoyang Village is a village of cannibals, which is pretty disturbing in and of itself, including a shrine surrounded by the bones of the consumed victims. After being confronted with some demons in one of the homes, the characters exit to the sight of the entire village covered in blood. Your feet even squish as you walk around the place.
The small village of Dalian is haunted by Li Li, a girl who had her voice switched with her father's, in exchange for her father's safe return from a terrible sea storm. The only way to get her voice back was to kill her father. She came close to doing so, but never could go through with it. Her father eventually dies at sea, but comes back from the dead as a drowned corpse just so he could be killed by his daughter. Li Li, out of scorn for the village and their local deity, simply walks out into the ocean carrying her father on her back and returns as a bitter and vengeful spirit who kills someone unlucky enough to be caught outside after the sun goes down.
Shadow Hearts Covenant had a spell, "Nightmare," that caused a cockroach tsunami, in first-person view, that culminated in bugs seemingly crawling on the TV's actual screen, underside facing the player. If you suffer from insectophobia, you'll likely throw the controller down and roll into a ball the first time it's used on you out of the blue.
The bad ending of Shadow Hearts From the New World, where Shania becomes utterly corrupted by Malice.
Every game has a Dollhouse sidequest, and all are equally terrifying.
First game: A girl named Lilith gets a doll named Laura for her birthday, and all is good until Lilith tragically passes away. Somehow the doll became sentient and kept a man named Ewan as her "pet" for who knows how long. You find the doll in a Room Full of Crazy and it asks for you to be its playmate. Forever.
The "Help me help me!" parts really drive it home... not only that but when you complete the quest? All you see is a message on the floor written in blood: "Thank you"
Covenant: One of Geppetto's old friends had a daughter who died young, and he became obsessed with bringing his child back, making puppet after puppet to serve as a vessel for his child's soul. Things go horribly awry when it turns out that his best puppet wasn't occupied by his daughter's soul, but a demon called Baal. And then it tries to lure the party to their deaths by masquerading as Cornelia, Geppetto's daughter. Thankfully, Cornelia's soul intervenes, taking up residence in the puppet after Baal gets its head kicked in.
From the New World: A mystic named Latisha ran a business in which she would summon a soul into a doll so they could spend one night with a loved one. However, the soul must return to the afterlife after the night is over or it will become twisted and evil. The soul of a woman named Dana rebelled, and sure enough, she became corrupted and had her lover murder Latisha and bury her in the backyard so she couldn't dismiss Dana's soul. Unfortunately, Dana also trapped Latisha's soul in a doll, immobile but fully conscious.