For me, some of the downright terrifying stuff encountered in the original Resident Evil left me feeling a little uneasy. I remember playing it at night in ooh, Christmas 1996 and having to turn the light on to sleep afterwards.
When I was really little I used to play Teenage Mutant Ninja Turtles on the NES.
This guy used to make my 4 year old sister scream her head off in absolute terror and panic. Not for the bad guy itself, but a pair of glitched eyes that would appear in the top corner of the screen in the shoddy PAL conversion I had. Definitely the most fear I've ever witnessed a single video game create.