Holy shit, and here I thought I was going to be creative and say AVP 2, and apparently all I can do is jump on the bandwagon. Phantom radar signals = retardedly intense gameplay. I loved every moment of it. Elevators, cranes, ahh man.
After that, lessee...
Call of Cthulhu: Dark Corners of the Earth, the part where you go to sleep in a hotel you know is run by a murdering psychopath, because it's still the safest place you can find in that freakish backwater town. And then you wake up in the middle of the night because someone tried to open your door. The one you locked five times before going to bed. Cue one of the most intense scenes in any game I've ever played through.
Bioshock's Dr. Steinman. Frickin hospitals, man. Most of Dead Space was fairly freaky. And the Nazi levels in Uncharted.
Recently downloaded a game called Lone Survivor. Very... very unsettling game. Original and unsettling. Strongly suggest checking it out [http://www.youtube.com/watch?v=Xtt0ZezljHk]. That trailer doesn't really do its disturbingness justice, however.