The crypt in Arx Fatalis. To tell the whole story: you are making your way through hordes of zombies appearing and before you reach your destination really creepy mummies appear. After you reached your goal, your way back is blocked by a powerful and really creepy lich who is spawning zombies like hell and if you are unlucky, you can't beat it. But there's supposed to be another exit but it goes way deeper into the crypt and so there surroundings more and more get creepier, more mummies appear and if you are unlucky, you can't even find that other exit. Going down even more brings you to a huge chamber which is really dark and if you dare to take the helmet that lies on the coffin, you can fight two liches at once and you can't get outa there, until you beat both of them.
I've finished the game many years ago and I'm still traumatised "
The dwarven mines were creepy too with this big black monster chasing you the hole time (and if it gets you, you are dead).