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Max Payne. Particulary Max's playable nightmares, which were a sudden change of pace and some horrific experience altogether.

Some Vaults in both Fallout 3 and New Vegas could prove to be tense and borderline scary places. I definitively remember them that way.

There were some sequences in Final Fantasy VII that scared me as a kid. Like when Barret peeks into Jenova's machine and you're greeted with a short CGI of some monstruosity. Or whenever that chillin' ost started sounding and you knew something creepy was going to happen.

 

Could probably think of more examples later.