Please don't list this on a work's page as a trope. Examples can go on the work's YMMV tab.
Nightmare Fuel: X-COM
When "Not Enough Time Units!" comes at the worst possible moment...
Chryssalids are super-fast, heavily armoured aliens (looking very much like a Xenomorph) who sprint across the battlefield at an impossible rate, and in the earlier parts of the game can take the concentrated firepower of an eight-strong squad to bring down (sometimes even that barely hurts them). If they attack one of your team, they will kill them. Then the fun starts. Anyone "killed" by a Chryssalid becomes a CPU-controlled zombie enemy. They hit hard, but they're slow, and easy to kill. Except... when you kill them, a brand-new, fully-grown Chryssalid bursts out of the corpse. If you're still using the starting weaponry, you might not have even killed the first one when it happens. Some players will go as far as have their troops carry primed grenades in their off-hands when going into a terror site with Chryssalids — if they get zombified, they'll drop the grenade and kill themselves, and maybe soften up the Chryssalid. And if you're playing at Superhuman, you know that anyone below Captain runs with a zero-primed high-explosive. If you're doing alien base missions, then you have it doubled, or an alien grenade or two.
The Tentaculats. For one, you only encounter them at Alien Colonies, Artefact Sites and large Submarines. There's a good chance you'll be fighting them in the dark, which adds to the creepy atmosphere all to well. Second, they look like giant tentacled brains with huge octopus-like beaks. They do the same thing as Chryssalids, except they can float.
In between turns, you can hear the pitter-patter and slithering of aliens walking around, the occasional weapon blasts, the screams of dying civilians, the opening and closing of doors, the fear that if the game switches to the main view then you will watch a Chryssalid or other enemy suddenly jump out and kill your troopers, the creepy music, and sometimes, total silence. And it doesn't help that the "Alien Turn" image is of a wounded soldier in a picture that is mostly black-and-white except for the red of his blood. Right behind him is what looks like a Muton about to tear him apart with his bare hands.
Discovering the effectiveness of alien grenades and blaster bombs. The hard way. And then trying to organize some kind of retreat with at least half of your whole squad dead in one turn.
Aliens with psionic control, with a squad of troops who have low psi-strength.
Night missions, before you figure out effective night fighting tactics. Your troops get sniped from dark corners, and when you have your troops approach them, they just get cut down by reaction fire.
Terror From the Deep didn't get its name for nothing. Essentially, it's UFO Defense mixed with H.P. Lovecraft. The aliens you fight are the stuff of nightmares, especially the Tentaculats and Lobstermen. To clarify on the latter, the Lobstermen are giant crustaceans that can shrug off any attack that isn't a melee weapon, while tearing your own troops to pieces if you are not prepared.
Many of the aliens in this game indulge in Body Horror. The Deep Ones are humans that were grafted with Aquatoid DNA in the most gruesome way. Bio-Drones are piloted by brains that were butchered into submission, and use a sonic beam based on their original vocal cords to scream their enemies to death.
Chamber of Ultimate Alien is surprisingly creepy. Alien itself resembles huge aquatoid with Cthulhu tentacle face and its in coffin shaped "bath". However, creepies part is that its reanimating process is powered by 8 alien fetuses/babies in glass jar. Which then wriggle in pain while getting electrified after you shoot the glass, which you need to do to kill the Alien.
Also from the reboot, the Thin Men, a modernized version of the Snakemen. Faster, more mobile, and they both spit poison and explode into poison when killed. Oh, and they look almost human. Good hunting!
Sometimes, due to a glitch in Enemy Unknown, an enemy unit may spontaneously appear next to one of your soldiers as if they teleported from out of nowhere. Bad enough when it is a Muton or Cyberdisk, maybe even a Sectoid, but this can also happen with a Sectopod.
The tutorial mission of the reboot is pretty creepy too. You come across German soldiers, one that's been killed with conventional (for the aliens) weaponry, and one that's been somehow eviscerated when, to use Dr. Vahlen's words, tore its way out of his chest. Then there's a German soldier from inside a building calling "Hilfe..." What does that mean? "Help me."
Floaters and Heavy Floaters from the remake. Several times more horrific than the original game's counterparts, and very, very dangerous in the early game.
Let's think about this from the alien mooks' perspective, shall we? So your leaders tell you to forcibly uplift a primitive race known as humans. Pah, easy you say. These primitive apes are still using ballistics weaponry and they haven't even figured out practical spaceflight yet. So you send out the Sectoids to start abducting. And then, out of nowhere, a squad of four of these humans shows up and slaughters your advance guard (assuming you didn't play the tutorial). Okay, you think. We'll send in the Thin Men, Floaters, Mutons, and Chryssalids. They get slaughtered. Then, your spacecraft start getting shot down by this same mysterious group of humans. Now, the rumors have started among the rank and file of a horrific creature known only as "DoctorVahlen," who will capture you, place you in a glass pod, and stick probesinto your brain to gain information on you! And THEN, this same group of humans, having turned your own weaponsagainst you, breaches your base and utterly slaughters everyone inside. They never leave any survivors, and they always take the corpses to their horrific underground base to be dissected and used as weapons. So you start bringing out the bigger guns: Sectoid Commanders, Muton Berserkers, Muton Elites, Sectopods, Cyberdisks, more powerful spacecraft, the works. They're all slaughtered. And those psionics tht gave you a massive edge early in the invasion? The humans have them too, and they'll use them, chortling horrificallywhile they do it. You think you have it bad? Try being a platoon of Thin Men or Sectoids on a Council mssion going up against a squad of Colonels and Majors.
XCOM (no hyphen)
If you hang around an investigation scene too long, the Sinister Geometry aliens will arrive and vaporize you. It's scarier than it sounds.