When Vivendi Universal bought Valve for the purpose of getting their hands on Steam. That gave me chills.
Oh, alright.
Yes I'm an enormous STALKER fan, and I really like the Penumbra/Amnesias.
However, there's only one moment in gaming that actually gave me nightmares.
In FO:NV when you explore the town that Ceasar's Legions have just cleaned up. I went into the town just far enough to see what was going on, and get related garments from one of the houses. I was carrying way too much stuff, and was afraid that there might be combat if I talked to the wolf-head guy. So I stashed a few things in one of the houses and left the area. For various reasons I didn't get back to playing the game for at least a week, but I'm reasonably sure that town left a solid impression on my psyche. Something (that I couldn't remember afterwards) kept frightening me out of sleep several times a night for the next couple of days. To this day I only suspect the link, but I wasn't exposed to anything else that even came close to rating on the Creepy-O-meter.
What is bizarre is that I play DOOM 3/STALKER/Amnesia with all the lights in my room off, and they don't give me nightmares.