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Nightmare Fuel: Warriors Orochi
Hydra, JUST HYDRA in the third game! Really, the initial premise of this series is to make a cool crossover game between Dynasty Warriors and Samurai Warriors. So basically, most fans never actually expect such creature would exist in the game's universe, and Hydra's very existence is enough to scare you. And we have yet to mention the Downer Beginning of the third game thanks to this Hydra.
And then we get to the storyline of the third game as a whole. While the two base games already have their fair shares of heartrending moments, they are nevertheless still about humans fighting among themselves on roughly equal footings. The third game outrightly shatters this by giving you a premise where much of humanity is wiped out with the sudden arrival of this Hydra cataclysm, resulting in most of the characters you've known either dead or brainwashed into servitude. Then you are treated with the intro level where you are thrown into the Fire and Brimstone Hell that is what remains of the world, pulling out one last desperately attempt to fight off the enroaching monstrosity, which of course fails miserably. You watches your allies die one by one while the Ominous Latin Chanting plays in the background... Surprising how a Warriors game can make you feel so desolate, isn't it?