This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Silent Hill: Shattered Memories
Near the cabin in the woods, you find a bloody pink jacket in the snow with a trail of blood leading into a cabin.
The text messages received from taking the UFO photos get increasingly more bizarre and insane, starting with the guy sending them relating how he suspects his wife is one of "them". Then he locks her in the basement, she pleads for food...and finally she's "just laying there, but she can't fool me!" Truly unnerving, and at that point (the 12th photo of 13), you become afraid to continue with it - because who knows what his next message might be? The messages are readable here.
The first time one of the Raw Shocks attacks from the opposite side of the door is a moment that will make most people jump in their seats and yell.
Once you find out that every major event is tied into Cheryl's life since Harry's death.
The voice mails that come with some of the pictures you take.
Creepy Voice: That's a nice new belt, Todd...
The first sequence where you have to run from the Raw Shocks. They give you no direction other than to run, they don't tell you where, and it's extremely tense.
In the high school, you can go in either the art room or the astronomy room. In either one, finishing the puzzle gives you a phone number to call. Unlike all other phone calls you'll make, the person on the other end of the line just whispers "Door's open,", and the next thing you hear is the previously locked door unlocking itself.
The scene where Harry and Dahlia are in her car, arguing, when suddenly Dahlia is frozen solid as everything around Harry transitions into the Otherworld once again. This results in the bridge upon which the car is sitting to bend and twist as it is covered in ice, and the car to slip off down into the water, with Harry still trapped inside as water starts seeping in. The worst part? Once the car is in the water, you get to see everything from Harry's POV, completely helpless. As if that wasn't bad enough, Raw Shocks suddenly appear out of nowhere outside the car as the windows freeze over and the freaks start scratching messages into them, urging Harry to give up on resisting.
When entering the apartment above the dress shop, there's a little mystery of what happened to the occupant's cat. You see a litter box which either hasn't been changed in a while or is full of dead mice or something. Then you look up at the wall and see a picture of a cat that is crossed out in what appears to be blood.
The Mind Fuck that is the nightmare sequence in Dahlia's apartment. Rooms so big they seem infinite, labyrinths of the same living room, throwing yourself into the abyss in classical Silent Hill style and see slideshows as you fall, that same fucking TV appearing everywhere...it really is where the "psychological" focus on this game really works out, as everything feels like a psychiatric session gone hell wrong. And all the time, while you cruise the huge level, when you look at the map you are still trapped in the tiny, tiny apartment.
The way the game plays with your expectations if you've played Silent Hill, and the speculations that go through your head as you play it. If you didn't know that this was a different continuity, you might wonder if this game is Harry Mason's personal hell after he died in Silent Hill 3. Is his soul now doomed to repeat the events of the first game, trying to find Cheryl and never finding her forever? To those that liked Harry Mason in the first game, this is a horrifying thought. After the ending is revealed, you're both relieved and shocked that this isn't the case. The bitter-sweetness of the revelation is just how Shattered Memories gets under your skin.
Joel Jr.'s hunting lodge. Depending on how you play, it's either a relatively normal-looking for a hunter's space, with spartan comforts, traps, fur, and taxidermy in its decor and a display of pinned butterflies... or a terrifying butcher's room, with almost no furniture and only a dead, mutilated bear on the only table, still in chains. The implication in either case, based on the Cycle of Death calls, is that Joel Jr. was traumatized by his father forcing him to shoot and kill a deer as a kid, but his father's emotional abuse lead him to connect killing animals with asserting his own masculinity (or his heterosexuality; in one variation, it's implied he was sexually aroused by it), became a skilled hunter, and eventually murdered and/or raped a girl, possibly one of the party-goers. It's hard to decide what's more frightening: the mad weirdo who chops up wild animals in his blood-drenched shack in the middle of nowhere, working out his aggressions away from normal society, or the mad weirdo who has a fetish for dying animals, living a quiet, unassuming life, diligently working his trade until a lost girl finds herself on his property...
The Raw Shocks in general, but particularly the mix-n-match nature of their traits that become more and more extreme as the game goes on. It's possible to have a blend of two or three of the four types by the end, and since they're all based on imagery found in common nightmares, at least one of them is going to look like something out of your own horrible subconscious.