At first I thought this would be suggesting horror stories that are particularly horrifying to rationalists, such as the one Eliezer mentioned on the HP:MoR author's notes about the Friendship is Optimal fanfiction.
Link to the story: Friendship is Optimal. Though I wouldn’t call the story as a whole a horror story; rather, it has some fridge horror. And it is particularly horrifying to those interested in the singularity, rather than to rationalists in general.
This is a kind of "X files" thread.
Post experiences which spooked you, which made you doubt reality, mathematical or physical laws, your sanity, memory or perception. The more improbable the better, but no second-hand legends please, share only what you personally experienced. If you had the event later explained rationally please use rot13 to avoid spoilers.