I don't think I've ever played a game that made me feel dirty. And I don't mean an "I shouldn't enjoy this but I do" kind of dirty, but that disgusting, Buffalo Bill's-basement kind of dirty that only a master set designer can create. I just watched 's Frontier(s) and I think that film is a perfect testament to how a dingy, filthy environment can usurp the watcher's comfort and put them at ease. So when the trademark French hyper-gore gets rolled out, at least the viewer has some warning what they're in for.
And let's get the obvious ones out of the way: Amnesia proved a master act at discomforting the player, and it wasn't even because of the actual foes that faced them. Dying was a fairly painless process, but the anticipation of dying was enough to make my heart pound and my hands shake. Pathologic proved oppressive in literally every possible way including, unfortunately, its actual playability. While Left 4 Dead doesn't get many nods for its atmosphere (or anything else) on here, the Heavy Rain scenario had a brilliant mechanic built into it. As the players progressed through the level better (faster) the Director automatically adjusted the weather to impair the survivors. And probably most obviously, the first few Silent Hill games that were literally designed to make the player feel trapped and helpless.
I'm still waiting for a game that can shock me the way film does. I guess that games have a way of rendering mundane the most obscene violence, and that speaks to an entirely different issue altogether. I wish that today's "shock games" treated themselves as anything more than masturbatory attempts to display the most depraved images possible, without building up that morbid fascination that draws people like myself to these kind of games in the first place. That said, I'm glad I can say that while a lot of movies have cost me my fair share of sleep, Amnesia remains the one experience that I simply can not finish out of anxiety.
Edit: And somehow I forgot Demon's Souls!