Not so much horror as unbridled rage, but...
The fake BSOD in Eternal Darkness, The pirated software detected screen in Earthbound, Using too many cheats in Banjo-Kazooie,
If you don't know, a pirated version of earthbound has twice the amount of random encounters and harder difficulty to pad out the game length. When you reach the final boss the game announces that it is aware that it is pirated and forcibly ends the game while deleting all save data in all files and using too many cheats to advance through Gruntilda's lair in Banjo-Kazooie automatically deletes your active file. The game does warn you though so it's your own fault if you called the games bluff and lost.
The fake BSOD in Eternal Darkness, The pirated software detected screen in Earthbound, Using too many cheats in Banjo-Kazooie,
If you don't know, a pirated version of earthbound has twice the amount of random encounters and harder difficulty to pad out the game length. When you reach the final boss the game announces that it is aware that it is pirated and forcibly ends the game while deleting all save data in all files and using too many cheats to advance through Gruntilda's lair in Banjo-Kazooie automatically deletes your active file. The game does warn you though so it's your own fault if you called the games bluff and lost.