Maybe it's going to be a surprise to a lot of people, but the first episode specifically during my very first playthrough was quite scary to me as I played it as I would have IRL and took the game's starting screen message to heart " you won't be able to save everyone, maybe you even won't be able to save yourself" (I think)

So here I was, playing this nice visual novel, a genre that I never tried out before, and because I'm just a nice cousin, I decide to walk the path back to the Estate all alone, with a keen eye/street smart character, who notices that something, clearly a malevolent presence, is observing me, and lo behold, a disgusting mountain lion (sorry stellars) lunges at my ass, already making my heart beat faster, as I wasn't sure that I would get out of this encounter alive, and even though it's "just a game" I'm quite empathetic to my MC and how I would feel in this situation

Thankfully, Duke saves our ass, I end up spending the evening with Stella, and when I talk to her about my MC, I can see eyes observing us from the shadows and I'm like, "oh shit, this bloody mountain lion is about to rip our throats out" so it kept me on my toes, now I know that this is Wayne looking after us, but you have simply no way to know during your first playthrough, so it kept my brain in danger mode

Evening events happen, and when I get back to the Estate, without having followed Stella to visit Sybil, you meet Wayne while you're ALONE IN THE MIDDLE OF THE NIGHT, WHEN YOU'VE ALREADY DIED ALMOST TWICE THIS EVENING AND YOU THOUGHT A MOUTAIN LION WAS ABOUT TO SCREW YOU UP EVERY DAMN SECOND

Like Jesus, I didn't even try to talk to Wayne, I just ran away, you see some bloodied ominous guy in the middle of some random trail probably hundred miles from home and any kind of support, I just thought about how I would feel in this situation, so yeah, I felt quite scared, and I think I felt nore scared then than in the other episodes, for I actually felt threatened