Oh I have a good Silent Hill one,
In a locker room (school?) in the normal fog world, there is something thrashing in a locker and you open it up to find a cat. Later in the 'nightmare' version, there is something thrashing around in the same locker and there is blood coming out the bottom of the locker as well. However, you open the locker up to find.... nothing. So, shrugging it off, I started to walk away when all of a sudden *BAM* a dead body flies out of another locker onto the ground.
Haha, I remember that one.
Also, remember the honking cars? And the things that rushed from under them? That was amazing :)