The BioShock series has plenty to offer when it comes to nightmare-inducing fear. If you're afraid of the dark, people sneaking up on you, babbling madness, disfigurement, creepy monotone children, a dystopian society, or even BEES, then this franchise have something in store for you. The series also usually involves heavy use of shadows and ambient environmental noises. And if you're thinking of anything less from the people who previously worked on the System Shock series, THINK AGAIN!
Nightmare Fuel / BioShock