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Nightmare Fuel: Tomb Raider Legend
As you're swimming towards the tomb of King Arthur, you can hear an otherworldly-sounding noise echoing throughout the cavern. It becomes deadly quiet immediately afterwards. You don't see anything out of the ordinary and you've no idea what's making it, and as such, Nothing Is Scarier. As you exit the tomb, however, you do get to meet what probably caused the noise earlier : a gigantic sea serpent that promptly tries to eat you. No explanations is ever given about where it freaking comes from.