One point I dread in any game is in MGS3. Where you're walking down the river and the Sorrow tries to blast you, and you get those unsettling images of him and that horrible scream!
I still own the Mega Drive (Genesis) and almost every part of Echo The Dolphin scares me. But mainly after you jump out the Ocean and everything in it gets sucked out and you're left alone with this creepy music.
Giygas from Earthbound. It's bad enough, but when he starts speaking to you and the images of a fetus start emerging from him!
SH4. Where you wake up in the Hospital World, and Walter is performing a hysterectomy on a monster/woman thing. Then he starts slowly walking towards you with his hands covered in blood!
Arkham Asylum. The part in the morgue is just creepy as hell. Thomas and Martha all zombified, and then when you open the last bag, out pops Scarecrow, followed by his spooky world and a giant version of him!!!
Arkham City. The Mad Hatter's tea party!
There are more, but those are the ones that made an impact on me.