Splatterhouse.
'nuff said
The NES one was corny, but the Genesis ones were creepy.
Aliens (kinda creepy)
Or take the route Enemy Zero (a 3D FPS on the Saturn) took and make all the enemies invisible. After the first enemy encounter, I threw down the controller and never went back. I do NOT like having my brains splattered by unseen aliens!
Ooh or Tecmo Knight. It was a beat'em up like Splatterhouse and almost as gory. Oh god, I remember the game's intro and game over screens so vividly...