A few times, actually.
Ravenholme in HL2, for one. There was just something about it that even flying sawblades couldn't cure. Also, for whatever reason, I was scared to death of the antlion stage. Something about it being both completely deadly and in broad daylight scared me.
Ah...hmm...Resident Evil 4, when you encounter your first regenerator. The whole thing there about un-freezing it and then hearing it breathe...then, when you finally shot its legs out and thought you were in the clear, just to have it...gives me chills, man.
Also, a few times in Bioshock 1. At the beginning when the guy tries to carve you out of the bathysphere, then when you encounter all those plaster people in the theater level. I kept expecting them to break out of the plaster and eat me.
And CoD: World at War's Nazi zombies, totally high on acid at 1 AM with surround sound. I huddled in the bathroom for eight hours until my friends started singing disney songs to calm me down. I'm never dropping acid again.
NEVER.
But I play Nazi zombies every once in a while when my friends are around.
EDIT: I also had to inch my way through the opening of dead space. My friend won't let me live it down.