Zozo from FFVI. Just a really dark, creepy place with a freakin' dead person or two lying on the ground and just left here like it's no big deal.

The Phantom Train from FFVI. One of my favorite locations in any FF game. It's music is eerie. The ghosts everywhere can be creepy, especially the part where they form a group and start coming after you, while repeating the phrase "n.o. e.s.c.a.p.e."