Two places.
First, in Skies of Arcadia, I'm creeped out by the giant squid. Not because it's a hard creature to actually deal with, but check this out... If you fly right at it and go into battle, fine. It's just a battle, but I was tracing the damn thing from a high altitude and I lost track of it once...and then I got distracted by something outside of the game. The next thing I know, they radar is bonging at me and there's this unruly sound as I look back at the screen and realize DAMN THAT'S A BIG SQUID BEARING ON ME!
And second, Extermination. For those of you unaware, this is a fairly-original Survival Horror that was moderately-well received, though kind of an underrated game. It has kudos for being {A} probably the first Survival Horror for PS2 and {B} not Resident Evil. That aside, it had a number of tricks up its sleeve that made ME think it was good, even if it still lacked in voice-acting somewhat. It had atmosphere. This research area is slowly being overrun by an alien menace. It takes over people, it grows on the walls and ceilings of the whole place, and people were getting eating by the walls. The whole base is being slowly overtaken and then I see...a person hanging out of the wall, dead, like it somehow grabbed and grew threw them.
That can be some freaky shit.