What was the first time a game scared you?
I have the lamest answer. The first time I entered Big Boo's Haunt in Super Mario 64 it FREAKED ME THE FUCK OUT! Something about the sound design, the music and the atmosphere of that place was super effective on 11 year old me.
The thing this new 3D console was great at, which the Super Nintendo couldn't match, was immersion. You could have creepy 16 bit art, but you never felt like you were INSIDE the game world.
This was before I even encountered that piano from hell! It took me a while to work up the courage to finally play the level, but when I did it was one of the easiest in the game.