Something I felt sorely lacking in Dark Souls 2 was a fear of losing my souls and progress. I think a large part of that had to do with how frequent and close by the bonfires were to each other. It seems Miyazaki went back to the Demon's Souls school of checkpoint logic in that safe havens are few and far between, and this is crucial to a game like Bloodborne. The uneasiness one feels when they have a large amount of (not souls) blood echoes stored up, but are very far from the last lamp and have no items left to return safely with all that bloody currency in tact. Do you attempt the large trek back? Is it even possible if you've fallen down somewhere and don't know a way to return? Could there be a lamp right ahead in that building in the distance? What if it's a boss? What if it's a shortcut and I'm so close? These questions just buzz around in my mind like agitated wasps as I feel cold and alone in some backwater village or forest. I've been getting hung up on certain mechanical changes made, but hats off to Fromsoft for making me feel fear again.

Yeah, it seems Lamps are more scarce, but shortcuts are a lot more prevalent. There were some instances in Dark Souls II where there was a bonfire way close to another one, which was weird. But there were also sections where it took just as long to get to a bonfire, as it takes here to open up a shortcut.

I do like the world building better in this than in DSII though. I prefer shortcuts over just another bonfire (although that game also had shortcuts, just not as many and they didn't feel as organic). That said, I'm rarely scared to lose my Echoes. Never actually. I carry around 80.000 with pride, too stubborn to return to the lamp. If I die, that's fine. I will be able to make my way back there anyways and if it is something I feel like I'm not ready for you can just use that Hunter... powder... something. I forget the item name. That stuff is all over the place and you can even buy them. I feel like there should have been maybe 5 across the entire game. Completely takes away that fear you are talking about for me. Although I only used it once, knowing it's there is the safest feeling you can have.

I think what makes the 'oh shit' feeling for me is the awesome new addition of enemies devouring your blood and getting those glow eyes.
Which if I understand right basically means you can't go back into the hunters dream as it will respawn all of the enemies? So if you don't get your blood back from an enemy you might as well count them as lost if you plan to go into the dream? There are still a few mechanics that I don't entirely grasp yet so maybe I'm wrong.
But to me that gives me this urgent "Oh crap, I can't go back to the dream and re-collect myself for the journey, I just have to go and get them, OH MAAAAAAAAAAN!"
It's a lot of fun that way.
Though I'm not as afraid of losing my blood in this game as losing my souls in Demons Souls/Dark Souls as I tend to get so much loot from enemies in this game, and combine that with the great new SELL system, I always feel like I made progress, so even if I lose 10,000 blood, I probably got enough Blood Vials and bullets to sell the spares and make a nice chunk back. Where as in Demons Souls or Dark Souls losing your souls meant you lost everything, the journey to get them was pointless, shit.
So it's this cool little trade off of, it feels urgent to go get them, but losing them doesn't sting as much.
Of course it also helps that I already found my 'blood farming' area where I can get between 7,000 to 10,000 blood per 4 minutes so if I ever feel like I lost a level I was going for or an item I wanted I just sort of zip back there.

Scary enough to make me turn the lights back on and turn off surround sound. It's a long time since a game freaked me out enough to do that, probably Dead Space. I think it's a mix of the world being completely new so you have no idea what's lurking behind the next dark corner, and the freaky audio with it's many moans groans and snarls. I remember slowly walking past statues thinking one of them was going to come to life and murder me. My big fear is gaining a substantial amount of souls/blood and losing it for good. I'm not that far into the game since the European release was yesterday, I just got killed by the third boss and lost 20,000 souls/blood.

@lisatiffany: The UK is only a very small part of Europe. It released in Europe on the 25th.