Spelunky/Nightmare Fuel

Spelunky often punishes you for attempting to rush through levels without caution, so naturally, you would think to keep a steady pace, slowly disabling all the traps ahead of you. Everything seems to be going fine... until the music slows down and distorts, and you receive the message "A chill runs down your spine! Let's get out of here!" By that time, this is likely what you're doing. Dawdle around more or take too long trying to find the exit, and the ghost suddenly appears. If it's not enough that it has a tortured, agonized facial expression, it constantly homes in on you, flies through any solid object, and instantly kills you on contact. And when it finally does you in, your body turns to bone and withers away immediately. Also doubles as Paranoia Fuel.
In the XBLA re-release, the ghost has been given a makeover. Have fun sleeping.
Giant Spiders are also incredibly traumatizing. They're absolutely immense in size, easily double the horizontal size of the player. They wait along the ceiling, sometimes out of sight of the player, and when their prey happens upon the area beneath them, they drop down from the ceiling, which, since you're at level 1, with hardly any Hit Points to spare, you're going to be annihilated. It does 2 hearts of damage, jumps all over the place, and never stops chasing you once provoked. Arachnophobes will have a field day with this thing.
The 2nd area of the game, the Jungle, has the optional boss Giant Pirahna, nicknamed Jaws. It's incredibly fast, homes in on you when you fall into the water in a Rushing Water level, and in general looks terrifying. If that wasn't enough, his flesh constantly decays as you fight him, showing bits of exposed bone matter. Squick.