According to the E3 footage, the gameplay looks like it's no slouch in this department. Death occurs realistically, and characters will act like they're in pain before they die. And by the end of the footage, without breaking into a cutscene, the game prompts you, as Joel, to aim a shotgun at an enemy's head as he begs for his life. When he dies, there's a red spot where his head was, and the last moment of gameplay is the gunshot that you have just fired. This is Naughty Dog's darkest game yet.
At about 2:45 this trailer shows Joel having to pull an infected corpse away from a door, and you can see that she's grown into the wall, with various body parts, notably her head, in a grotesque, warped shape that falls apart as Joel pulls her off the wall. And then the ending of the trailer has him rather graphically get his neck bitten apart by a mouth which remains squick-inducingly human.
As Bill points out, it's not the Infected that's the scariest part. As you'll find out through the gameplay, it's usually other people who show you the worst and toughest combat.
Joel's complete lack of any moral quandaries when it comes to killing and maiming people who stand in his way, both in and out of gameplay. He interrogates three people over the course of the game - in sequence, by breaking someone's arm, almost lobbing off a kneecap and shooting multiple times in the groin. Every time, he shows extreme efficiency.
The last part of the hospital sequence at the end of the game is truly chilling. Whether you agree with his choice or not, Joel's Tranquil Fury as he brutally kills three unarmed, cowering surgeons as well as Marlene is intense.
The intro masterfully captures the dread, confusion and panic of the first few hours of a Zombie Apocalypse. The devs actually make the Infected seem threatening when compared to games like Dead Island or Dead Rising, where 100% of the time you can win just by throwing stuff at them.
The part where you play as Sarah wandering around her empty house is a perfect example of Nothing Is Scarier. Players know the Zombie Apocalypse is underway, so spend the entire time expecting a Jump Scare every second. There isn't one, but the atmosphere is intense enough that when you go into the kitchen, there's a good chance you'll jump at seeing your own reflection in the window.
Pittsburgh. Just... Pittsburgh. Here, the civilians managed to successfully rebel against the military and became a group of bandits. As Joel and Ellie make their way though the city, they come across the corpses of numerous soldiers who were killed in pretty horrifying ways, such as getting lynched or lined up and shot execution style. Then they see the bandits start ambushing and gunning down innocent people in front of them.
Each stage/type of the cordyceps-infected is its own unique flavor of Nightmare Fuel.
One of particular note is early on in the game when you suddenly drop into an area in an abandoned shopping center filled to the brim with clickers, and a handful of runners. And you have to sneak right through them all. Without making a single sound.
Some runners you encounter during the game do not 'patrol' like normal ones, and don't seem to be aggressive unless disturbed. Instead they just stand there. Weeping. Head in hands and all. Looks like Sam's theory about the person they were still being in there somewhere might not have been so far from the truth, at least in the early stages of infection.
After the prologue, the first time you encounter them (attacking, then feeding on a freshly-killed victim), if you listen closely, you can hear one of them sobbing WHILE eating the person. Just imagine that. Seeing and feeling yourself violently cannibalize someone raw and being completely unable to stop yourself.
Coming back to Sam's theory given what we see in the cut-scene of him attacking Ellie and a glimpse of the behind the scenes footage of the actor's mocap during that particular scene (Grounded - Making The Last of Us), specifically, the way he is only clawing and hitting with his hands on the ground around Ellie would suggest Sam's attempt at suicide by survivor... maybe that's why some runners... run at you.
The Stalkers are Paranoia Fuel on legs in that they can hide and ambush their victims. Even Joel's hearing ability is easily eluded by these bastards, so chances are you wont be sure how many there are and where they'll attack from. Have fun.
Your first meeting with them is arguably one of the most unnerving experiences in the entire game. After you (Joel) fall down an elevator shaft and swim through the darkened, flooded basement floors of the hotel, the first dry basement area you reach unfortunately happens to be another spore nursery. Up to this point everything's been dead quiet, but as you proceed towards an upwards concrete ramp formed from a caved-in ceiling, you suddenly see a swarm of rats come scurrying down the ramp and straight past your feet, fleeing from some unknown terror. Then, as you get closer, you see an obscure human shape at the top dash by and disappear behind a wall. After searching you'll eventually find a small office with a keycard required to open a door to exit the area. Right when you pick it up and look at it in the bagpack menu, you suddenly hear a nasty croaking voice.....RIGHT BEHIND YOU.
Not sure if this is from the same part, but later on in the dark and flooded basement you have to get a generator going to proceed further. Just as Joel's made it start, a loud, jarring sound of something being busted open suddenly echoes through the dark basement, followed by the horrid shrieks of infected, likely giving most players an epic Oh, Crap moment right along with Joel. You then will be initially left at confused horror at the darkness hindering you from see much and not knowing where the infected will come from or even where you should run, and to make matters even worse, when the infected does pop up right behind your back, one of them is a freakin' BLOATER! Cue running blindly around in the dark and narrow basement hallways while trying to avoid it long enough to get enough hits towards it as it slowly follows you around while warding off common infected on the way. It's enough to make the player be genuinly reluctant/scared to start the generator again every time you die. Although, the place is a lot easier to get by if you've learned to use a Molotov Cocktail (or simply outrun the infected to the door).
That whole scene is made worse by Ellie's absence. Even though (at this point in the game,) she's not all that useful in combat, and certainly not against the flood of Infected you'll encounter here, but even knowing that, players may well find themselves wishing she was there. This scene magnificently drove home the Primal Fear of being alone in a scary place.
Some of the death scenes are horrible, but special mention goes to one of the death scenes where Joel's jaw is ripped wide open by a Bloater. While there is a Gory Discretion Shot stopping you from seeing much more, you still see what happens for a split second. Yeesh.
It gets worse, just in that split second before black, you can see the Bloater's fingers gouge out Joel's eyes so it has a better grip. Holy fucking shit.
Also, the Bloater's bull-like roar while it kills you is terrifying.
Some of the graffiti is pretty damned creepy, but most of it can be chalked up to the angry lashing out of disenfranchised survivors against a pitiless mock-government. Some of it, though, is just outright freaking malicious. There's one in the hotel, written on a whiteboard, apparently from someone who's gotten separated from his wife, Sara, warning her to take two boys to her mother's because it's not safe here... which is then scribbled out, with Sara's name circled, and the words "don't worry, we take good care of her". The boys' names are left as-is, suggesting wherever they are, it's not with her anymore...
Though it may count as a Crowning Moment of Awesome to Ellie, the scene where she kills David, the cannibal leader of the Winter scenario, can be this to some. She literally and messily butchers David's head with ten strikes of his own machete (off-screen), while almost completely having lost her mind lashing out at the man who may or may not have attempted to rape her. Joel arrives just in time to calm her down and snap her out of her frenzy.
Speaking of the cannibal town, the entire experience is one of the more unsettling sections in the game. Running through the blizzard as Ellie with nothing but a knife (and possibly a few bullets if you were lucky enough) to kill someone with, having to avoid the denizens of the town who are all much, much tougher than you as they are all alerted to the fact that a frightened teenage girl is trying to escape. One hell of a ride.
Any instance in which Joel ventures into the 'spores'. The pitch black, confined rooms, with Joel's heavy breathing being the only source of sound, if not for the distant moans and clicks of the infected. Easily the darkest environmental tone the game ever dips to.
The Boss Fight with David might just be the scariest part in the game. Basically you play as Ellie while being trapped in a burning restaurant with him, to which he slowly walks about, looking for you and delivering several taunting lines (such as "assuring" her that any part of her dead horse won't be wasted), while you have to sneak quietly around until you manage to ambush him three times in total, each time getting creepier than the previous: he uses a gun a first, then a machete, then he hides just like Ellie and will no longer be audible apart from when he moves (unless you play on Survivor where you don't have the listening mode at all, and will really have to be careful while sneaking around!) All of his nasty lines and manner of delivering them just adds to it, such as the way he laughs if you step on broken glass, revealing your position, creepily saying "Hello, Ellie" if he sees you and "Run, little rabbit, run. Hide!" after your second time stabbing him. Also, get caught by him after he takes out his machete and you're treated to a nice view of Ellie getting impaled from behind.
Heck, everything about David might serve as a Nightmare Fuel in a sense of Rewatch Bonus, when you know his initial kindness towards Ellie is all because he's an ephebophile aka. sexually attracted to teenage girls.
"David's newest pet"?! How many times has this psycho found a girl, butchered everyone she was with, then keep her alive so he could rape her until he got bored and killed her?
Oh, there's worse: you listen to the members of his cannibal commune talking, you realize that they actually have a somewhat functional democracy and free debates among themselves and willingly elected him as their leader: he's not a tyrant who took over by force, he's not a cult leader lording over fanatics who follow without question, and knowing that his "compatriots" knew about his "tastes" and freely put him in charge make the whole sequence all the more horrific.
Well, there's no evidence that they knew about his "tastes". It's possible that they elected him while ignorant of it at first, then continued to put up with it because David was a good leader. However, the whole thing with Ellie became too much for them and decided to stop "indulging" him once the whole thing was over.
Ellie's levels are pretty terrifying compared to Joel's anyway, because the game really makes you feel how much more vulnerable she is; she lacks his equipment (and any health / hearing upgrades he may have got from collecting meds), and if it comes to a close quarters fight players may fail to land that crucial first strike with her knife, because they're used to Joel's greater reach. Further more, even a knife strike doesn't stagger an opponent the way a blow from Joel will, and consequently enemies are more likely to counterattack, and if one actually grabs her there's no option to struggle and throw him off, because Ellie simply lacks the brute strength to grapple with an adult.
Any game-over death scenes during her parts are also worse, simply because seeing a fourteen year old child get shot / strangled / beaten to death / her throat ripped out is even more shocking than when it happens to the grizzled Joel.
There is an early level, where in an abandoned office building you find several dead soldiers, and the mission log which states they got cut off, and killed one by one well waiting for an extraction. I personally found this very creepy, the idea of watching your friends die one by one, waiting for backup that never comes.
Also the sewers, for essentially the same reasons. Fairly stable community going till one day, someone leaves a door open, resulting in everyone being killed.
Particularly the room in which you find a pile of child-sized corpses under a sheet, an adult corpse with a suicide note saying he decided Better to Die Than Be Killed for all of them when the Infected breaking in seemed imminent, and a big scrawled message on the floor saying THEY DIDN'T SUFFER. This one prompts a horrified "Jesus" even from the hardened Joel.
In Pittsburgh, there is a note, where a soldier recounts watching, a mob, burn his squad alive. Potentially creepy for The Firefly/Hunters involved as well, as he implys he is going to personally hunt down and kill every single person who was there. Really alot of the scariest stuff in this game, happened off screen.
Imagine the events of the first level happening everywhere.
Hell, the entire prologue is built on Nightmare Fuel. Joel being forced to carry his injured daughter to safety, running through town while all hell breaks loose around them, alongside dozens of other panicking people... It perfectly captures the feeling of panic and confusion that one would expect from a disaster of the same magnitude as the Cordyceps pandemic.
The high school in Lincoln. It was the town evac point, and all the abandoned buses, means it fell before everyone could be taken to the zones.
Many of the death scenes involving the infected only ever show them biting into Joel. Sure, since they usually get the neck it's safe to to assume that the bites themselves are lethal - but think of the implication that nothing else is ever shown. They don't need to bite anything else, because this one bite is all it takes. Even if Joel were to somehow survive the wound itself, that bite would've infected him, ending his journey in a far, far more horrific fashion.
The Left Behind DLC episode has some scares of its own:
The section where Ellie has to climb on the top of the duct to traverse through the area flooded with water electrified by a broken cable. Since touching the water is an instant kill, the mere thought of falling off the ducts and into the water is enough to make anyone scared of heights.
Fall into the electrified water, and you'll be greeted by a scene of Ellie being electrified to death before she falls in. It's not gory, but it's graphic and painful to watch.
The rather graphic death of an infected attacking Riley as the two tries to escape the mall.