Games that make me physically uncomfortable: the inevitable torture scene in every MGS game. The button mashing makes my hand cramp up.
Games that make me emotionally uncomfortable, which is more in keeping with the OP: can't think of any. Maybe playing something really fan-servicy or gory in front of my mother or one of my aunts would do it, but I can't think of a game that's really made me uncomfortable on its own. It's a game, not real life.
Edit: For those who don't get the MGS reference, the player character is the one getting tortured, and it's a segment where you have to rapidly mash the circle button to get through. It's a James Bond style "how is he going to get out of this?" torture scene, not a post-9/11 "this should be making you uncomfortable" scene.