Hephaestus in Bioshock gave me the creeps. Sure, the other parts were plenty creepy, but Hephaestus was just foreboding as hell. It was that single level that really made me feel like the entire weight of the ocean and all of the hostility in Rapture was focused solely on me.
Not sure if Ravenholm in HL2 counts, since that level was specifically designed as a horror level.
And then, there are most underground levels in gritty shooters. Turok, for example. I fucking hate giant bugs, and I hate enclosed spaces, as I can't see around corners, nor can I see if there are any enemies lurking around said corners, and there is less space to flee. So, giant bugs underground is awful. This was also the case in HL2: E2, and in that one you're being chased by Antlion Guards the whole time, so god help you if you don't spot the tiny crawl space you're meant to run to in time.