Endless Ocean/Nightmare Fuel

Endless Ocean

 * The abyssal zone is notorious for this, being pretty much pitch-black and with a fairly large open area between the cliffs. Often, the sperm whale and the giant squid will pop out of the darkness unexpectedly, which can be jarring even if you were looking for them.
 * Ship's Rest is bad enough just wandering around it at night, but then when you activate that cutscene...
 * These games might be tough for anyone with a fear of deep water and/or darkness. Swimming out into the open and then looking straight down is not a wise decision if that sounds like you. The abyssal zones are just as bad; the one in the second game a bit less so, with a bit more light and less open space. Fortunately, this also means they can act as a form of therapy.

Blue World

 * Since you can get attacked in Blue World, the game uses a rather unnerving siren to warn you of nearby sharks. You'll be rushing for your pulsar in no time.
 * Okeanos's Guardian. Oh, dear god, Okeanos's Guardian.
 * Even before that: "Uh, guys, where'd Hayako go? ...Gaston? ...Oceana, NOOOOOO!"
 * Just about anything big that attacks you in the sequel (mostly sharks). Thanatos and the Okeanos Guardian definitely qualify as nightmare fuel. It gets even worse when you explore their respective dive spots at night.
 * A cut scene triggered in the Triton Village (again, at night). You see this massive shark silhouette slowly approach you from behind at the Triton Village entrance, and.
 * It can be very unnerving to be swimming in deep water or at night and have one of the larger creatures suddenly appear out of nowhere. This particular troper was exploring down around the lower cliffs in the Zahhab Region, and turned around to find herself face-to-face with Leviathan. He won't hurt you, but it's still enough to make one jump.