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.
I think Outer Wilds qualifies, when you encounter a certain giant creature the very first time
Outer Wilds is cosmic horror in the original sense, you're forced to grapple with the fact that you're a tiny meat creature in a universe that keeps moving even if you're in the way.