Silent Hill 2 when I heard the whispering in the blue creek apartments, thought I was hearing things so creepy.
Baldurs Gate beating Sarevok without using wands of summoning. Fought him melee.
Ocarina of time when the game freezes at the end with you and Zelda as children.
Morrowind having the freedom to break into any house having my own place to keep my loot all set up on tables.
Oblivion/Skyrim, killing the first innocent and getting the letter from the Dark Brotherhood, "we know".
Witch Wild Hunt, walking through the forest at night with just a torch, also besting Von Evevric in combat.
Silent Hill 4, the feeling of loneliness being locked in an apartment the only way out through an otherworld inhabited my horrifying creatures.
The fireworks at the end of every Mario level, I always wondered where they came from and who was firing them.