Let's start this list off really heavy, why don't we? Based on the novel of the same name by Ellison Harlan, I Have No Mouth, and I Must Scream is a game where you cannot win. You can only lose heroically, or in a manner that doesn't involve eternal torment, because this game is horrifically, gut-wrenchingly depressing.
It's a 2D point-and-click adventure game revolving around five different people, all of whom are the last surviving humans on Earth. They are being tormented by a colossal supercomputer called AM, who creates a different world for each to explore that best torments them and exploits their greatest character flaws. As these worlds are slowly exposed to you, along with the flaws of the characters, you are forced to come to grips with the fact that you are trapped in an illusion while being forced to relieve the most traumatic experiences of these peoples lives -- and escape is nearly impossible
It's a story-driven experience with an extremely dark and twisted plot, loaded with very serious and disturbing subject matter that runs the gamut from rape to the Holocaust. And it is not a game where the "happy" ending is easy to find. Even in the best case scenario where you can escape from AM, what you're escaping to is the ruins of civilization -- and while that's much less horrible than the torture you endured, it's still a miserable existence devoid of purpose. Fun!
If you want to feel terrible this Halloween, while also feeling grateful that you aren't being tortured for all eternity, then give I Have No Mouth, and I must Scream a look.