The very beginning of Dead Money in Fallout: New Vegas taught me what survival horror really meant: you, untrustworthy companions (at first, anyway...well technically at first you're alone), no weapons, no armor, no stimpaks, an environment full of poisonous gas, hundreds enemies that only die if they're cut apart, and an explosive collar that prevented you from leaving and had an annoying habit of being activated by radios and loudspeakers. Dead Money is either my second favorite or favorite expansion pack for this terrifying beginning--you honestly feel like the world is against you...because it truly is.
Other things, like how screwed up the backstory is (not to mention the four other primary characters), the freaking holograms, and this song (which has been stuck in my head for a full week now): helped solidify the creepiness.