Creepy places in video games.

That very first dungeon is Phantasy Star 4 where you see that little monster that looks like a demon sperm and he runs away. The music in combination with the atmosphere and that small detail makes it very creepy. The first time you play you are like, "oh shit I don't want to be in this dungeon anymore. Where is the boss so I can leave?"

You left Curly to drown, didn't you. She saved you, and now there's nothing you can do to return the favour; all that's left of her is a lifeless hunk of metal.

Surprised no one mentioned Quackshot yet. The Transylvania level (especially the part inside the
castle) scared me as a kid and it still is a bit creepy now: