Dead Rising: The Convicts. Three escaped prisoners in a military jeep who go gunning for innocent people for no reason. Regardless of how many times you kill them, burn their bodies, scatter their ashes in the river, and dismantle their jeep, they return every night. Their music is easily the best in the game, and there's a pretty big number of strategies to take them out.
Resident Evil 4: The first time I played, I was a lowly noob, not nearly prepared for the opening village sequence. On the third time I restart it, I wise up and become much more mobile, running in a big goofy figure-eight around the village square and nearby houses, scavenging for ammo and taking potshots at the occasional knife-wielding dude. And then I meet the first Chainsaw Guy. More chases ensue until I come across a locked door (locked since it leads to a later level). My health is in the red, the Chainsaw Guy is bearing down on me, etc etc. I finally kill him once and for all with my absolute last remaining shotgun round before Ada rings the church bell. Easily the most intense first half-hour of a game ever, even moreso than RE5 (since that opening level was pretty much just a co-op revamp of RE4's opening level).