The World of Warcraft lives up to its name. It's an entire world, and it is just chocked full of bizarre things. Some are intentional, and quite neat, like the Ruins of Lordaeron. The castle was the setting of Warcraft II and III until Prince Arthas was possessed by the Lich King and killed his own father. Hang around the throne room with the volume all the way up and you can hear King Menethil being warned about Arthas. Go outside in the courtyard with "detect invisibility" turned on and you'll see the ghosts of the people who once lived here.
That's creepy, but it's nothing compared to an abandoned dungeon known as Lower Karazhan. The area is rumored to be an upside-down version of the actually accessible Karazhan mentioned in the novel the Last Guardian, though it doesn't resemble that dungeon at all. It's sealed, but there are various ways to get through using tricks.
It's not much to look at at first, just a generic crypt-sort of place, but once you go under water just past the area called Pauper's Walk you'll see why Blizzard abandoned the area and sealed it against entrance. They'd created something too terrible to see.
Hanging on hooks in the water is a collection of prisoners that have all had their hands cut off and their eyes torn out. Nothing else this gruesome exists in WoW. In some places of the dungeon, a faint beating of a massive heart can be heard, and others have reported voices. Let this be a lesson. When a game company creates something then locks the door against it intending it never be opened, for the love of God listen to them.
This one is actually more sad than creepy.
In all of video game history, no character has ever been more fervently wished back alive than Aeris Gainsborough. A sweet flower girl from the slums, Aeris went alone to pray for the power to stop the apocalypse only to end up impaled on the massive sword of Sephiroth. Just as every comic geek remembers where he was the night Gwen Stacy died, every gamer with even a sliver of goodness can tell you how he felt as Aeris' body was lowered into the water for her final farewell.
Rumors abound even to this day of a way to cheat death and return her from the Lifestream. After all, didn't every playable character in VI survive the crash of the Blackjack and the cataclysms the ended the World of Balance? Didn't every ally that sacrificed themselves in IV return to fight again, save Tellah? Alas, it's not to be. Aeris dies for real.
Near the end of the game, it's possible to reenter the church where you first met her. Depending on the version of the game you're playing, you may see her alive and well, tending her flowers. However, if you rush forward to meet her, she flickers and disappears. One theory is that this is simply a glitch in the system, which would explain why only some versions have it.
The other theory is that Square is a bunch of dicks that like watching gamers cry. I lean towards the latter because of the ending of Advent Children.