Silver Rocket
The Exchanger
Personally, I feel like the Submarine part is, next to the part with headless Jenova. It feels like I'm playing Slender, since underwater is so creepy for me, and when I saw Emerald WEAPON, I started freaking out.
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Another scene that really creeped me out is when Tifa is trying to help Cloud out by sorting out his memories in the lifestream part. I think the music was pretty eerie during that scene as well, and I felt like Cloud was acting really weird. && seeing a large version of Cloud on the top-right of the screen doing some weird motion didn't really help. ^^;
The part that freaked me out the most is when Cloud had mako poisoning and he's sick in the hospital in Mideel. I don't know if it was because I was only 10 at the time, combined with the weird music when you enter the hospital or what. I remember being a little scared he wasn't ever gonna be normal again (I was naive).
You guys are all kidding yourselves, the creepiest part has to be either when Don Corneo chooses Cloud to be his date and then attempts to have some fun