Devil May Cry when I was 12. Thought I could handle the Curse Of The Bloody Puppets. I was wrong. They scared the fuck out of me. SO much that afterward, I put the controller on the floor and since it was a dualshock and there was no carpet, when I got slashed, the damn thing echoed in the entire room and scared me even more! Got over it the next day though.
Also, MK4. When I was 10. Jarek pulled a fatality themed-open-heart-surgery on me, scarred me once and then I spiked myself to death and got scarred twice. Needless to say, never played it for another 4 years and I have been hating Jarek the Jerk ever since.