Like a bunch of people have already said, Fallout 3 Dunwich Building.
But some that I just thought of would have to be:
Endless Ocean 2, whenever you find one of those cursed idol things and go back to your boat, you get this email from an unknown address, saying that you're now cursed or something, and when you leave the cabin, the camera pans out around you and there's a text box. Can't remember what it said though...
Primordia, Towards the end of the game, when you think your character is essentially dead, hearing Logan Cunningham's voice doing a monotone is just disturbing. Because it isn't exactly a monotone, it still has SOME expression, but... just... damn.
A Valve game (Can't remember which), I started up a Valve game, I think L4D or L4D2, and the logo with the man with a valve in his head started to turn and look at me, before snapping back to his normal position. I had never noticed that before, and it seriously freaked me out.
Fallout: New Vegas, Ulysses. Bonus points because he was actually supposed to creep you out.