You know, F.E.A.R. didn't really strike me as all that creepy or scary; they tried too hard, so I just found it a bit eye-rolling.
For me, the benchmark "creepy video game event" was not "we don't go to Ravenholm", but this: Shalebridge Cradle, from Thief: Deadly Shadows. If you played it, you know exactly what I'm talking about--if not, it's worth playing the whole game for. I think it's the finest single level I've played in my history of gaming, to be honest.
As for retro arcade games weirding me out, none of them ever really got me too much, but I will say that "Sexy Parodius" is one game that has me laughing like a deranged person because it's just so unrelentingly bizarre. Vicious boss monsters like a giant ear of corn or a penguin with a toilet on his head! Play characters like a paper airplane, a penguin with weapons, or a girl in bunny suit riding a missile! It's completely unhinged. I love it.