Amnesia, of course.
The Orzammar/Broodmother section in Dragon Age did it for me, too. The chanting as you walk down hallways with bits of organic..stuff..on the walls. Might have been the fact I was playing at three in the morning, of course.
Then, it being a cRPG, you meet the boss and it's all "okay, how do I beat this?" Which is why Amnesia rocked-- you CAN'T beat the monsters in a fight. The minute you can, the horror stops.
Oh, and The Path. There's some truly disturbing stuff there, depending on how you play it.