Every now and then, you get an RPG setting that really just pulls you in and conveys a mood perfectly, instilling an intended atmosphere within you seamlessly, getting you into what's going on with above average skill and subtlety. In my old rant about Skies of Arcadia Legends's City of Valua, the visuals of the environment, the background music, and what you encounter all work together to put together a particularly strong environment of the worst of urban life.
You get superior environments like this every now and then in RPGs. Sometimes they portray human settlements, as Valua does, and Final Fantasy 7's Midgar. Most often, you find yourself in a dungeon, forest, temple, cave, or some other dangerous place where you explore an area made exceptionally well to pull you into the environment--Grandia 1 does this in practically every explorable area in its game.
There's only one time, though, that I can recall experiencing an RPG where a strong environment like what I'm speaking of is created which just scares the pants off you: Shadow Hearts 1's Doll House.
While Shadow Hearts 2's Doll House has its moments of mild creepiness (and SH3's Doll House, as par for the game, is dull and boring), it's SH1's Doll House that has the dark, spooky look inside and out, lighted or in the dark, of a house whose history makes it better left abandoned. It's SH1's Doll House that has the heavy, moody music that sets the tone without going too far. And it's SH1's Doll House that has the creepy history of a little girl and her doll told through pictures and diary entries, all leading to the final place of the house, a silent, utterly scary room where a doll sits on a rocking horse, watching you with its lifeless face...a lifeless face that may move just out of the corner of the main character's eye when he's not paying attention. SH1's Doll House is as spooky, as creepy, as downright freak-you-out scary an area, particularly its final room, as any environment you'll find in a Survival Horror game like the Resident Evils. I was seriously impressed with it--when I was done holding my breath in fright.