I don't know what creeps you out personally, but if you haven't seen it yet (like on youtube or something), be forewarned that a side-quest in DG 2 called "Dark World" involves quite possibly the most creepy setting and hideous monster outside survival-horror.
"Dark World" is basically a super-powered mirror version of every level in the main story, except the background is blood-red and the menus change color to black and red. In addition to killing enemies, you have to deal with the Dark Sun, basically a stage penalty that causes random things every few turns (enemies level up, you base is destroyed, or even instant Game Over). When these penalties happen, DS appears, staring right at you, grinning, waiting to eat your soul. You can actually disable him for the level by "killing" him, but it requires literally kamikaze-ing one of your characters to do it (unless he/she has a lot of felonies, which just makes all the enemies stronger).
Review: creepy level, horrible-looking near omnipotent monster, character sacrifice.
Honestly, I never brought myself to finish that section.
Hope that helps!
). ZHP is really fun too, since it's a decent parody on games.