I don't play survival horror games but one visual novel (I think?) on the DS that really gave me the chills was 999: 9 Hours, 9 Persons, 9 Doors. It has sci-fi, suspense and horror themes in it with multiple bad endings. When I played it, I got first the "neutral" ending which was more or less a cliffhanger. Then in my second playthrough, I got the WORST ending which is pure horror. Never in my life had I been so scared with a videogame or a movie or anything, I was literally trembling and almost could not sleep that night.
Speaking of endings, that reminds me of Cyberpunk's ending.
...or, uhhh, the ending I got, which certainly is a bad ending. Don't know if there's a name for it, but man, it got really creepy on a psychological level. You see V going insane on screen and it felt like I was going insane with her, it was not cool.
(edit: looking it up, apparently it's called the "Devil" ending)
Not saying it's as bad as the one you mentioned, I assume it isn't, but for me that was some really heavy shit. I loved it, to be fair