The Darkness from Fable 3. Given that it's not a horror game and quite a lot of stuff in the series is played for laughs, it takes a very serious turn.

Sir Walter was a soldier who fought in past battles, advised the past and present Kings, led the Old Guard, trained the Prince/Princess to fight and risked execution to help them raise up a resistance against the tyrannical monarch. He did all of that while making jokes and seeing the lighter side of every situation. Upon meeting the Darkness in Aurora, this brave man is left a gibbering mess, temporarily blinded and terrified by what he witnessed in that cave.

It might not be a great game overall, but that part of the story hits very hard in my opinion.