Resident evil freaked me out when I was in my pre-teens (yes, I know, I shouldn't have been playing it in my pre-teens.)
The hannibal lecture in Metal Gear Solid 2 got to me a bit as well. I think they're meant to make the player feel a little uncomfortable at times, but still...
Fable 2 was the last to really strike a chord, only because of the ending for my character. I chose the sacrifice, and my family had divorced me. My character had no one left at the end of his quest. No family, no loved ones, not even a pet, and to add salt, his mentor effectively abandoned him, with his friends scattering to different corners of the world. Leaving him to live alone in the castle his sister died in, surrounded with wealth and distant admirers and yet completely alone. In defeating Lucien he suffered his arch-enemies fate. This had a rather disquieting effect on me.