I don't think anything is really scary, but if I had to pick, I'd go with the Sega Saturn game, D.

Most atmospheric? Heh. You're gonna laugh, but I say Blaster Master. I loved that one world where you were underwater, and it looked like the lost ruins of Atlantis down there! I like how you went from one world that was frozen over, to another world that was lava and fire. (Sort of like hell?) And then the last world wa a bio-world, all alien-like. That game's atmosphere was just too cool. And is it just me, or does the music of each world seem to fit perfectly? Sunsoft had a way with NES games. Too bad they sucked on the SNES.