Not from a game, but I was terrified of It of the eponymous movie. I only saw one scene, the one where It talks to Georgie, but it did more to me than anything else.
Now I shoot clowns in the head, just in case. I did conquer my fear, but it's more of a safety measure than a fear
Sharks still freak me out. I once read MEG by...Stephen Alton or something...and after I finished it, I went to row a boat (with my parents) on a big body of water. In the book, the Megashark is in a lake at one point. It scared my tits off. Then I realised that it was a mountain lake and nothing could get there. Until I realised that it might have been there before it was a mountain lake. Being a writer myself, that got me going real bad.
Just imagine being in a black space with nothing around you. And then, a giant whale or shark swims at you and gobbles you up with one bite. Writing this already gives me goosebumps. >.>