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.
That one dark semi underwater level in the last of us part 1. The one where you have to get the key to start the generator, with the stalkers I think. Really took me by surprise on my first playthrough 8 years ago with how creepy and left of field it was for a zombie game. I did it stealthily as well, which added to the creepy factor.
ooooo the first uncharted was terrifying the first time you find the zombie conquistador monsters