My vote goes for Tomb Raider II and the floating islands levels. The game is a relativity normal globe trotting affair for Lara until she gets transported into the fucking shadow realm here. This level gave me major scares as a kid since you're traversing a giant void being chased by animated statue warriors out to kill you.
My submission would be Legend of Legaia, its an old JRPG with some fighting game inspirations that has some really bleak levels in it. For instance a city where the residents have been consumed and fused with an enormous monster, so you find them as these like fleshy statue growths that are still aware of their situation, but powerless to escape it
I had a demo for this one I think growing up and I never got to play the full game. That's pretty messed up.