Good thread! I love disturbing moments in games, anything that can shake me emotionally is definitely worth remembering.
Hrmmmm let's see here....
Bioshock had a few, I remember one part in the game where you come across a body crucified to a wall, and at his feet are 2 opened briefcases with bibles and crucifixes and the like in them. On the walls around the body were phrases along the lines of "Keep religion out of Rapture" or something like that. Also, the entire section of Fort Frolic was just completely Creepy.
Dead Space in the room where you get your first weapon (plasma cutter), there is a body lying next to the table where the weapon is, and on the wall above it, written in blood, the phrase "Cut off their limbs".
Portal - "There is no cake". You have been promised cake throughout all your experiments, but later in the game you come across the body of a man who killed himself, after writing the chilling truth on the wall.
There are plenty more, but I must leave my computer for now so I will probably post some more later. Looking over my post, it seems that creepy things written on walls are the things that really get to me. Oh well hahaha[/b]