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Nightmare Fuel: The Crooked Man
Sissi's death in Bad Ending 1. You hear Sissi screaming for quite a while, followed by her blood pouring out from behind the door, followed by 2 horrifying splat sounds. And then the Crooked Man comes for you.
Every place you explore is an area that's run down at best and in most cases utterly abandoned. There's your own apartment which was a bit off kilter to begin with, there's an abandoned hotel, there's an abandoned law school, an abandoned hospital, the Crooked Man's own house...
The part where Paul and Marion go to find David when they feel something's wrong. Marion freaks out when Paul starts talking to people she can't see, and then Paul has to go forth alone...and finds David in the clutches of the Crooked Man who is causing him to hold a gun to his head. David doesn't even seem to realize the Crooked Man is there and starts talking about how he's worthless and will always be unhappy... Make the wrong decision at this part, and David pulls the trigger, on either himself or Paul and then himself. And it's still scary even if you choose the right action here, as Paul punches David many times without it seeming to work at first, and when it finally does work and David comes to he doesn't even realize what just happened to him or that Paul just saved his life.