This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Silent Hill
From the dog with the split open head, to the mist that obscures everything more than a few feet away, knowing full well that something is lurking just out of view... that damn hissing... the radio warning you that you're about to be attacked, that a monster is just waiting to rip you apart...
Don't forget the opening sequence. The foggy world itself isn't so bad since there's nothing to hurt you, but as you progress down the alleyway, things start to take a frightening turn; the fog turns darker and more harsh, the snow turns to rain, the walls become dingy and dirty and there's rusty fencing popping up all around you. Then you reach the end and see the corpse, and then the children come...and for bonus points, if you try to run back the way you came, it's inexplicably closed off now. Between the camera angles, horrible noise, and murky visuals, this part perfectly encapsulates what you're about to spend the next several hours experiencing.
Some of the rooms in the Otherworld feature noises that just... don't make sense. At least in the context of the environment. One room in the Alternate Hospital has the sound of glass breaking repeatedly, even though there's no glass to be found. And the room is empty. The sound will persist until it no longer becomes startling, but oddly threatening.
The Larval Stalkers. Small, child-like entities wrapped in darkness that tumble around and make bizarre squeak noises. Their first few appearances can be startling, especially if you don't know whether they're hostile or not. Later in the game, that ambivalence proves to be a valid perspective.
Somehow manages to double as the Most Wonderful Sound, as it also heralds the return of the less frightening foggy world.
The first appearance of the Floatstinger will freak out anyone with phobias of wasps, moths, and giant bugs in general.
When traversing the streets from the hospital to the antique shop, the "music" consists of a high-pitched buzzing/squealing noise, thought by some to be the radio signaling the intensifying evil presence. And of course, you end up in the Dark World again shortly after. Similar but even more earsplittingly scary music is used during the Final Boss battle.
Lisa's classic line is simultaneously this trope and a Tear Jerker: "I'm the same as them,", followed by blood gushing from an unseen wound in her head as she slowly staggers towards Harry.
Even worse when you realize that she wanted you to help... and even as Harry pushes her away, you can't help but think that you'd do the same.
The school's locker room and the cat. You enter the normal school's locker room and hear rattling/banging from a locker. You open it, and a cat leaps out at you. The cat leaves the room... then there's a noise outside like crunching bone and an agonized yowl. When you leave, Grey Children/Claw Fingers are waiting for you right outside the door.
Then you revisit the locker room in the 'dark' school, and you'll find the exact same locker rattling/banging the exact same way. It keeps making noise right up until the second you open it... to find it completely empty and soaked with blood. Already unnerved by this, you prepare to leave, and as you begin to take your first step, the locker in front of you suddenly opens, and a dead body wrapped in a bag falls out of it.
Some of the posters on the walls can be pretty disturbing, despite the blocky texture work. The children's drawings are particularly creepy, but there's something about the "Dog Kill Cat" posters in the school that will haunt your mind.
In the Midwich Elementary School, when Harry goes into one of the girl's bathrooms, you hear a girl crying in one of the stalls. It's just there for Rule of Scary. Until you realize it's Alessa's ghost.
During the last stretch of the Nowhere stage, you find a room with a refrigerator. There's a dagger you have to take from it, but you're only safe to take it after using the Ring on the fridge first. Take the dagger before using the ring? Enjoy watching Harry get dragged into the abyss by a tentacle that bursts from the fridge.
Fighting Puppet Cybil near the end of the game. In one of the CG cutscenes, she is sitting in a wheelchair, wakes up and staggers towards you with blood-red eyes. The boss also can and will shoot at you with a gun, and has a very disturbing laugh when the merry-go-round activates. If you didn't get the red liquid in the hospital, the only way out of the fight is to attack the boss until another CG scene triggers, which shows Cybil puking blood all over the place and dying.
Keep in mind as well that you have no idea what the Red Liquid does or is for, and you can't find out until LONG after it's too late to get it, and only if you complete an optional sidequest, so it's likely that most players, unless they're thorough, won't be able to save her.
Taking it a step further, failing to complete that sidequest AND failing to save Cybil leads to the Bad Ending. Have fun!
"My Heaven". Non-Indicative Name taken Up to Eleven. It sounds like horrible laughter mixed with a distorted dentist's drill. While other Silent Hill music is truly beautiful and melodic, this song is almost a nauseating Brown Note. Quite possibly the crowning moment of horrid un-sound of all the Silent Hill soundtracks.
"I'll Kill You". It's used very sparingly throughout the game, but try listening to it when you're alone and see if your hair doesn't stand completely on end.
There's also the moth battle theme and the Nowhere music.
The moaning and gurgling noises made by the Grey Children are creepy enough in the final game, but they were even worse in the demo version: the completely unmodified sounds of giggling infants, which were extremely disturbing in that context.
Behold what happens when you intentionally corrupt the game during emulation. There are some funny character movement and animation glitches, but there are also some highly surreal graphical glitches and some of the sound effects and music become horrifically distorted and high-pitched, including the game's infamous siren.