At a game show panel at an anime convention, one of the backdrops to one of the hard questions was a "Labyrinth ZoneDance Party". Missing the question leads to the water level rising drastically, with predictable results.
Tails lampshades this in Sonic Generations by saying the water in Chemical Plant Zone makes him really nervous.
The infamous Sonic 2 prototype has the infamous blank stages: Wood Zone Act 2, both acts of Genocide City Zone, and both acts of Death Egg Zone. No level, just glitched (if any) background) and plummeting to your death three times. Even worse, playing Death Egg Zone, which has no music, shuts off the Z80 processor, preventing sound from playing again until you reset.
Oil Ocean Zone's music is a bit creepy. What elevates it into Nightmare Fuel territory is that if you input the debug code on the wrong menu (entering 1-9-9-2-1-1-2-4 into the Options sound test rather than the stage select sound test), the music starts playing and never stops, even if you navigate outside of the options menu. Worse, all sound effects are disabled!
The real nightmare music is in the American soundtrack — Namely, the boss music and the GameGame Over music. The boss music is simply creepy, but the Game Over music is outright scary. This is in sharp contrast with the sountrack's JP/EU counterpart, as there those two tracks aren't scary: the JP Boss music has an Affably Evil feel to it, and the JP Game Over music is more like Sarcasm Mode in musical form.
"You can't do anything, so don't even try. Get some help. Don't do what Sonic does. Sonic, dead or alive, is mine!"
If you idle for three minutes, Sonic says "I'm outta here!" and jumps off the screen, resulting in an instant Non-Standard Game Over; if you are using the US soundtrack, the aforementioned terrifying Game Over music comes into play. If you did not expect it, it's pretty jarring.
Using a code on the main menu screen will bring up Sound Test. By using the numbers 46, 12, 25; you get a wallpaper of creepy Sonics coupled with the boss music playing and a very demonic Japanese message that states:
The Game Over music is prettyJump Scare-inducing. You can easily put it to these lyrics: "OH MY GOD OH MY GOD OH MY GOD OH MY GOD NO NO NO NO NO NO NO NO..."
Sonic The Hedgehog 3 & Knuckles
Sandopolis Zone's Act 2, set inside a huge pyramid with a scarier version of Act 1's theme playing in the background. About a quarter of the way through, you'll land on a capsule that dispenses a crowd of ever-growing ghosts.
It's even worse when you're playing as Knuckles in that part of the act: given his story happens after Sonic's one, the ghosts are in the red zone already, and ambush you as soon as the act starts, without rings. Fanart fuel, nightmare fuel.
Ice Cap Zone has a (normally) Knuckles-only section where you must glide from wall to wall while avoiding icy spiked balls. Hacking confirms said spike balls can hurt Super Sonic as well.
The Lost World has creepy music, a spooky underground city, and dark areas. Kinda unsettling. And at the end, a mural of Perfect Chaos destroying Knuckles' entire tribe; Sonic, not knowing what it is, is flummoxed.
The flashbacks to the past that Tikal takes all of the playable characters on reveal the dark backstory to the reason Chaos exists, and why Knuckles is the last of his tribe. In his tribe, a girl named Tikal befriends the Chao. Her militaristic father, Pachamac, wants to take the Chaos emeralds for himself and has no problems with slaughtering all of the Chao along the way; he doesn't even hesistate to throw back his own daughter. This naturally triggers Chaos' berserk button and he destroys the entire tribe, and to stop him from destroying the entire world, Tikal has to seal Chaos and her own soul inside the Master Emerald.
Eggman's "You fool. Away, before I make mincemeat out of you..." line. It's supported by the exhausted way in which he realizes that Tails beat him to the missile, and then he threatens to make them all pay for this before he summons the Egg Walker - this is one of those few times the Eggman makes a genuinely threatening line.
Amy's entire story, involving her being endlessly chased by a persistent robot called ZERO. It never stops following her. The worst part is that certain times, ZERO seems to disappear, only to crash through a wall and continue chasing you. As Tikal puts it (in a calm, emotionless voice), "The robot that was following you is closing in on you. It'll be over if that robot catches you."
The Mirror House segment in Twinkle Park with Amy. It has an initially innocent BGM, complete with baby sounds, that eventually goes wrong... and the best part? ZERO. Still following you.
In Hot Shelter, one part involves Amy collecting colored cubes to fit in slots that will supposedly do something. The area has video monitors all around it that all display static. Once the last cube is placed, the screens all cut to shots of ZERO threatening you... cue ZERO smashing through the screens and blasting you. You escape the room through the hole it made.
Crazy Gadget has Eggman's voice echoing throughout ARK as he threatens: "You're too slow! Sonic, if you don't come here, she will die!". Despite the target of said threat being the normally annoying Amy, such a serious threat by Eggman is bound to place any player in a hurry, let alone Sonic himself.
Meteor Herd, Knuckles's final stage, has its orange goop.
Final Rush (Sonic) and Final Chase (Shadow) are both set in pretty much outer space: falling down a Bottomless Pit here has the added graphical effect of burning from atmospheric re-entering.
The games has a Degraded Boss, story-wise at least: Artificial Chaos from Sonic Adventure. A mook-ish-ly weak version of the same Chaos seen in said game.
In the Dark Story, the prelude to the second fight with Tails is made disturbing by Eggman threatening to blow Amy's brains out with More Dakka than could possibly be necessary, let alone the lack of any hint that Sonic might have somehow avoided dying cold and alone in the empty void of space, and in a particularly gruesome and spectacular fashion at that.
On one instance of the Aquatic Mine stage, there is a section called "The Ghost Room" which can be seen by looking at the "CAUTION" sign. The room is infested with many ghosts surprising a character from random areas every few seconds.
In Pyramid Cave, there are some ghosts that appear and grab you from behind, which some fans refer to them as "rape ghosts".
There's also the big ghosts which have blinking black eyes and stitched-up mouths, which can be found in stages such as Death Chamber and Hard Mode versions of Pumpkin Hill and Pyramid Cave. 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, sharped-grinned ghosts as mentioned above.
During the boss battle, when it chases you, it tries to eat you and it's even more unsettling when it gets closer to the screen.
A little fact filled with irony: players practically have to let Knuckles drown to get the Air Necklace.
By which we mean that you have to dive into the water, swim downwards, and enter a tunnel while hoping that the camera suddenly changing location doesn't make you swim back out, then swim through an area with a lot of obstructions. Finally, you swim madly upwards, especially as you're probably hearing the drowning music, and you hope that when it stops, it's because you surfaced, rather than because you drowned.
Then there's what's keeping the Biolizard alive: a huge life support system embedded into its skin with tubes, with a central system that's obviously very heavy and straining on the creature. Not to mention it doesn't have eyes, but very obvious cybernetic ones. And yet it's still struggling to breathe. No wonder this is considered Shadow's prototype!
Lost Colony is a very dark stage, with eerie red lines within the walls that glow on and off rhythmically. It is also the very site of a government conspiracy that led to the unjustified mass murder of innocent researchers and a terminally ill 12-year-old girl.
The final stage, Cannon Core, has you flooding a chamber with water. Water that's tinted orange. Granted, it's no more harmful than any other non-lethal body of water in the game, and most likely you have Knuckles's Air Necklace at this point, but still not a fun segment for hydrophobes.
Final Fortress is perhaps Eggman's most massive Airborne Aircraft Carrier to date, and when you're in the level, you're surrounded on both sides by dark mechanical corridors, flashing lights (that actually do nothing to light up the place), metal conduits, and caution markings. All of this happens thousands of feet in the air, in the middle of a massive lightning storm. The music is quite possibly the most mournful, ominous, and heavy piece of music ever made for a kids' game.
Metal Sonic's transformation into his One-Winged Angel form in the starting cutscene before the fight against Metal Madness in Last Story, and his scene in the cutscene before Sonic goes Super Sonic, can both be scary to younger audiences: perhaps as a form of Audience Surrogate to that, the six-year-old Cream is shown during the scene being hugged by Big due to how terrifying it is to her (probably doubles as a mini Crowning Moment of Heartwarming).
Arguably, the ghosts in Hang Castle/Mystic Mansion. They appear out of nowhere, have a creepy laugh, simply fade when hit (just before reappearing in a couple of seconds), and even the characters admit that they make absolutely no sense. And as if that wasn't bad enough, imagine dropping into a room swarming with them, with walls that appear to be made of TV static. Oh, and in case you were going to get vindictive and try to Chaos Inferno all of them...they're immune to Team Blasts. Have fun.
Also, in the Super Hard Mode version of Hang Castle, they will appear in much bigger sizes. Particularly, if you go to a small room, you will notice a giant laughing pumpkin head is appearing right in front of you, filling up the entire room.
The first Sonic Advance uses a fairly pleasant — and unused anywhere else in the game — sprite depicting Eggman's "pointing" artwork as an after-credits message, as a stinger, telling the player "Hey, go collect all the Chaos Emeralds!"... with a pitch black background. The message in the second Advance game, on the other hand, has a slightly modified of the Eggman "menacing-and-greedy" sprite from the Sonic Advance 1 intro, still with a black background, telling the player to collect the Chaos Emeralds, but this time in all caps with a Scare Chord thrown in for good measure. The image itself can be seen at the bottom of this page.
It doesn't help that collecting any of the Chaos Emeralds, especially the last two, is absurdly difficult. The Special Stages in this game are thoroughly Nintendo Hard.
Sonic Advance 2 is one of the only games in the series to pose the question "what happens when Dr. Eggman's space stations are destroyed?" Well, it turns out that they hurtle to Earth and engulf whatever area they land in a giant explosion.
Shadow the Hedgehog
The stage Cryptic Castle, not only does it have ominous fell to it, but there's also small blue ghosts that rise up towards you as you're falling. Then there's the pumpkin scarecrows that drop down from the ceiling with a creepy laugh, and at the very end of the neutral path you get chased by a giant, skeleton-like creature with blue flames surrounding its face that cannot be killed. Even Eggman himself had no idea what it was and was downright terrified of it!
The game as a whole, also thanks to its Multiple Endings, can end with Shadow himself being pretty scary.
All but one of the final Eggman bosses end with Shadow killing Eggman, and sometimes threatening to finish off sonic, or take over Eggman's empire.
The pure evil ending; Shadow's just beaten both Sonic and the Commander of GUN, and has the seven chaos emeralds. He intends to destroy the whole planet, and he not only has the means to do so, but he's just crushed the main opposition.
Think about the plan here. Black Doom engaged a 50 year long plan to prepare an invasion of global proportions, completely curbstomping our defences and manipulating Shadow into retrieving the Chaos Emeralds so that he could bring the Black Comet safely into Earth's atmosphere and merge them both. Once completed, the entire alien race would capture all humanity. For what purpose? To provide them with a bountiful harvest that can be farmed, reproduced, and grown like cattle for the purpose of providing food. Shadow didn't just save our lives, he saved our future.
Black Doom is implied to be an Eldritch Abomination messing with your mind. Particularly notable in how, on the Dark routes, Shadow unquestioningly obeyed Black Doom's orders, with said orders being about terroristic attacks.
During the final fight with Black Doom in the Last Story, if you take long enough, you get to hear Sonic, Tails, Knuckles, and Dr. Eggman choking to death, cheering you on in battle until their last breath.
The Digital Dimension track, the first half of which is a hellish landscape with creepy gargoyle statues and weird ghost/skeleton hands that try to drag you into a pit. In-Universe, Storm the Albatross states to be scared of it. Rumor has it that this track nearly gave the game an E10+ rating.
In the game, all characters can attack each other. These attacks change as the racers collect rings and level up. Most of the attacks are quite cartoonish and comical, but Sonic's Level 3 attack happens to be spinning into another racer and repeatedly and brutally smashing them into the ground as Sonic spins, while the sound of bones cracking is heard.
Those who aren't bothered said attack, well, they've probably crashed into walls so many times they're pretty sure they're just hearing the usual collision sound.
Sonic the Hedgehog 2006
Mephiles the Dark's introduction from Sonic the Hedgehog 2006: He slouches over and walks as though a puppet on strings with his creepy staring eyes, able to talk without moving his mouth, all with this music playing.
At the start of the last story, Mephiles appears out of nowhere and instantly kills Sonic. Even though Sonic comes back to life eventually, it still happened.
But at the same time, it's impossible not to acknowledge that if there ever is a live-action Sonic movie, Eggman is going to look more like Sonic The Hedgehog 2006's Eggman than any other. Even in the Sonic Fan Film, Eggman looks more like his Sonic 06 incarnation. A human playing Eggman with his regular body shape, THAT would be an even creepier uncanny valley. Just imagine it.
The Mephiles boss fight involves him summoning an entire swarm of mini-Mephiles which will dogpile Shadow while making creepy, high-pitched noises.
CrisisCity, a metropolis leveled to the point where it's submerged in lava.
In the final level End of the World, there are dark colored orbs with a creepy eye pupil which known as the Eye of Solaris. Which the dark red type throws out containers and the dark blue type sucks every object, even the character you're playing.
In the opening, Eggman actually manages to tear the Earth apart.
And the way that we see Super Sonic struggling and getting forcibly de-powered by being electrocuted and having the Chaos Emeralds ripped from his body then drained. What really makes the scene disturbing is how Sonic is screaming in agony as this happens.
The closest Eggman has gotten to a true Moral Event Horizon in the games: He tried to capture an entire alien species, the Wisps, just so he can use their life energy to power his machines, which could've brought the Wisps to extinction if Sonic and Tails failed to stop him. Eggman's master plan was to use them to power a mind-control weapon that's powerful enough to enslave the entire universe.
The sudden robots that come out of nowhere while you're underground can come off as a shock.
Purple and Violet Wisps. They were once normal Wisps that were captured by Eggman and forced to obey him, and as such were turned into this◊ and this◊.
The Time Eater kidnapping Eggman after the Death Egg Robot boss fight. Hearing Eggman begging Sonic to save him doesn't help at all.
The appearance of Time Eater. We find out that it's actually an EldritchTime-Destroying Mecha found and utilized by Dr. Eggman of the future right after his recent defeat from Sonic Colors. Even worse, when Eggman explains how he found Time Eater, the player is shown gray scale images that show the rotund scientist discovering said monster in deep space with Orbot and Cubot, as his is their fate at the end of Sonic Colors. However, once Eggman sees Time Eater, he goes after it on his own, leaving Orbot and Cubot in deep space forever.
Subverted, they return in Sonic Lost World, although it's not explained how they got back to Earth....
The newly-designed GUN truck. After exploring the high-def redesign of City Escape, a player who hasn't seen previews would expect the truck to simply drive down a hill at reasonable speed like the original, but now it's much bigger, it's even faster, and it's been equipped with three gigantic saw blades and rocket boosters, with the worst regard to human safety, as it proceeds to smash through a building quickly. About all those cars that were just knocked about, they explode upon touch.
It's also pretty frightening during the Classic Stages. It skirts the line of the Sliding Scale of Comedy and Horror, where its sporadic slamming into walls, crashing into you and anything else around you, actually smashing and flattening you against the wall if you aren't careful, and trying to drive into a wall while you're not even there is either terrifying or hilarious.
In All-Stars Racing Transformed, the X-Ray Sparks that are the result of being electrocuted reveal that the characters' skulls have no eye or nose sockets, or even teeth. Granted, the characters' skeletons were most likely drawn sloppily and featureless because the developers figured that they shouldn't waste tons of polygons on something that the gamers will only see for a few frames, but still!
The Game Over screen for Sonic 3D Blast: instead of the words "Game Over" simply flashing on screen after the last life is lost, the screen turns a pale blue as the letters for "Game Over" appear, set to the Game Over theme from Sonic 3 & Knuckles, then at the very end, the screen just explodes.
Doctor Robotnik's Mean Bean Machine in Scenario Mode. Whenever you're losing, your enemy will have this look on their face that makes them seem like they want to molest you.
One of the most creepy moments was the open interpretation of the incomplete ending of the Game Gear version of Sonic 2, in which Tails gets kidnapped by Dr. Robotnik. If you don't collect all the Chaos Emeralds throughout the game, then you do not gain access to Crystal Egg Zone and have the bad endingcredits, at the end of which Sonic looks up and sees a constellation of Tails in the sky, which could very well pertain to the fox's death. Youtube user Whoisthisgithad a field day with that one.
The Game Gear game Tails Adventure has a boss where you're trapped in a room and must use Tails's mini-robot to defeat a crazy old bearded duck scientist. To do this, you have to navigate the robot through a tiny maze to reach a rock you must push onto the boss's head. He looks startled momentarily, then falls on his back and stays that way.
Tails Adventure in general can be pretty jarring, going from robotic enemies for most of the Sonic series to live ones here. Noteworthy is Speedy's second boss fight. He blows up. And seems to visibly spasm while it happens.
The arcade game SegaSonic the Hedgehog can be a little frightening. The story of the game is that Dr. Eggman/Robotnik has captured Sonic, Mighty, and Ray and puts them on his island that contains various death traps. The object of the game is to run from the beginning to the end in each level in one piece. The catch is the aforementioned traps such as giant tornadoes, gigantic stalactites, spike walls, and circular blades (which Eggman can activate with a push of a button). There are more in the game; the point is that it shows how determined Eggman is and how far he will go to destroy Sonic and friends. You can hear in his voice during the course of the game that he really loves torturing Sonic.. That scream he lets loose at 1:14 proves this.
Sonic X-Treme, even though it is cancelled and this soundtrack may not be real, has a pretty unsettling game over 
Sonic X actually has a scene in Eggman's labs showing how he places the little animals into his badniks. They are placed in little ball prisons and then scooped up and jammed inside the robotic shells, while they are still conscious and frantically trying to escape. The giant bots' lifeless eyes then light up as they activate and begin an immediate test run blasting Sonic targets.
The plot of Sonic the Hedgehog in Robotnik's Laboratory is Robotnik transforming animals into robots. Not too different from his normal plan you may thing; but rather than capturing animals and throwing them into machines he's invented a device that'll transform the physical body into some "useful". For example Johnny Lightfoot is transformed into a mop, and worst of all the creature that is transformed is fully conscious and aware.
Then there is a slight malfunction and the machine transforms a group of crawlers into "something resembling crawlers but made out of spaghetti", they slowly fall apart with shocked expressions on their faces.