This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Silent Hill Origins
A somewhat slight entry in the series, but it boasts the Cedar Grove Sanitarium and the Artaud Theatre, two of the creepiest environments of all the games.
The opening in general.
"I'm not sleeping, son. You knew I wasn't sleeping. Why did you stand there for so long? It wasn't right. It wasn't healthy, son. Time you faced up to what happened. Your mother...and I...will see you in Heaven, son."
Carrion. Slow moving skinless parodies of roadkill, dragging themselves across their ground with their hind limbs. They don't look like much, but running into more than one of them in the Otherworld with no warning and having half or ALL your health knocked out in a matter of seconds ups the Nightmare Fuel considerably.
Twoback. A perversion of the "lonely trucker" stereotype, it constantly twitch-spasms and either spits acid at you or attempts to strangle/crush poor Travis to death.
When Travis has those weird...flashbacks. Everything suddenly shifts to black and white and muffled voices both familiar and foreign begin to speak. They come out of nowhere and break the silence, fading back to normal just as quickly.
The Otherworld Library in the theater was definitely one of the creepiest locations in the series. It feels like something out of Lovecraft's Cthulhu stories, with all the oddly ancient books in the room (which are perhaps made of human flesh?) and the mention of unrecognizable languages.
The Remnant. Those weird shadow creatures that are encountered in the Sanitarium.
"PLEASE HELP ME"
The Memories of Helen and Richard Grady. They're horrifyingly mutated versions of Travis' deceased parents.
The entire backstory of the game falls into this when you really think about it. Dahlia Gillespie sets her 7 year old daughter Alessa on fire, which would be an unfathomably heinous crime on its own, but considering that she's doing it with the intention of causing her to suffer unimaginable agony so that she can incubate the cult's god, the situation is greatly worsened.
The mutilated bodies in the motel rooms. They have their insides taken out and blood all over.