Being hunted by unkillable monsters, like the OP. I could even use the same monster as an example; whenever I play Dead Space, the mere thought of facing the Hunter always fills me with dread. I also get uncomfortable when I see characters that I like get hurt in really horrible ways, like when Alyx gets attacked by the Combine Hunter in Half-Life 2: Episode 2, or most of Isaac's death scenes in Dead Space 2.