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Metal Gear: Snake's Revenge. I was a kid when I played this Nes game. Everyone on Snake's team (John Turner, Nick Myers, and Jennifer....uhhh...) died. I was traumatised!!

Adventures of Lolo was scary too. There were these creatures that killed you if you looked directly at them. Always scared the shit outta me.

Metroid II on the Gameboy!! With headphones, you'd be walking, enjoying the environment when all of a sudden....ZETA METROID ATTACK!!! Scary stuff, indeed.