This is based on opinion. Please don't list it on a work's trope example list.
Nightmare Fuel / Sonic Adventure 2
Gerald Robotnik's speech in the Last Story. With the voices set to Japanese, he talks in a Creepy Monotone. In English, he sounds like he's going even more insane.
This is culminated with a military official asking if he has anything else to say. He replies he has nothing more, at which point the soldier orders his men to prepare themselves. The video cuts off just prior to what is blatantly Gerald's execution.
Gerald Robotnik: ...I plan to give you a taste of my revenge, once all the seven Chaos Emeralds are collected. Once I initiate this program, it cannot be disabled. All of you ungrateful humans who took everything away from me, will feel my loss, and despair!
The image of Gerald Robotnik tied in chains, facing the camera and about to face an execution squad in the video that's sent out to the entire world creeped a lot of kids out back in the day. It was just something you never thought you would see in a Sonic game.
Gerald's diary isn't a basket of roses either, describing his descent into madness from his grief over losing Maria. First he seems confused and sad, then scared, a vicious, hateful growl, and finally when outlining his intentions for Shadow, he seems eerily calm, almost cheerful in his annunciations, as if giddy in his belief that his actions will lead to the end of the world-
Prof. Gerald: Based on my original projections, I completed my project, Shadow... I designed its mind to be perfect, pure. I will leave everything to him!
The trailer for the Last Story.
Rouge:The end of the world...
The scene with Eggman's demonstration of the EclipseCannon was full of this. Arguably, the scariest part wasn't watching the laser pass close by the skyscrapers and blowing a large chunk out of the moon, but the timer seen at the end as Eggman laughs.
The boos from the haunted stages such as Pumpkin Hill have yellow eyes and creepy grins, and they will pop up unexpectedly at you. They will pop up from the walls, on the ground, various objects, and even in their smaller forms.
In the Aquatic Mine stage, there is a section called "The Ghost Room" which can be seen by looking at the "CAUTION" sign to your right at the starting point of the stage. The room is infested with boos jump scaring a character from random areas every few seconds.
From the Death Chamber stage (and the Hard Mode versions of other haunted levels) are The Boom Boos, the big ghosts with black eyes that blinks a few seconds and stitched-up mouths. It only takes 3 hits to kill them and attacking them once will not only shorten their size, but also turn them into larger-scale versions of the yellow-eyed, slasher smiling boos as mentioned above.
There's King Boom Boo, the ghosts' leader, who even scares Knuckles. Also, when it chases you during the boss battle, it tries to eat you and it's even more unsettling when it gets closer to the screen. The battle's music is also chilling with its Psycho Strings.
Eggman's threats if you take too long on Crazy Gadget are surprisingly harsh, and he holds a gun to Amy's head in the cutscene following the level.
Eggman:You're too slow! Sonic, if you don't come here, she will die!
Sonic comes the closest to death he's ever been when Eggman traps him in a self-destructing capsule. If you play the Dark Story first, there is no indication that he survived.
Eggman's recap on the following boss fight is even worse.
Eggman: Hahahahahaha! I finally did it! I've defeated Sonic! That annoying hedgehog is now gone forever! He's nothing but floating chunks in space now!
Egg Quarters. Not because of the ghosts, but because of those floating Scarab Beetle robots. You never know where they are unless one of them is in the same room as you, and turning a corner to suddenly see one in your face can be quite scary- particularly since you can't destroy them, they produce a creepy beeping noise when they spot you, and if you don't get away from them ASAP, they'll summon four holograms of themselves that shoot unavoidable laser beams at you.
Rouge slipping on a support beam above a pit of molten metal and nearly falling to her death. Thankfully, Kuckles saves her life.
Though there's some Nightmare Retardant in the fact that this is a gross example of Cutscene Incompetence, as Rouge is capable of flying/gliding so there's no reason she couldn't have saved herself without Knuckles' help.