STAGE SELECT:
Two words: Rumble. Vest. https://youtu.be/r9gx_wAaq5A?t=398
Another big one is the Game Genie but maybe not for the reason you're thinking. I was playing a Mario 64 creepy romhack over Halloween and while it didn't gel with me I thought of my childhood. I remember my sibling was big on experimenting with the Game Genie trying to unlock weapons that didn't exist or modify movement patterns. But what invariably happened was that they'd cause the game to crash which always produced a kind of creepy side effect, usually involving one rushing to the console to switch it off since the sound engine would mess up and more likely than not start blaring a glitched tone sequence while the graphics got more and more corrupted. And you never really knew when it would happen, you could be playing the game normally and then get a jump scare outta nowhere because the code modification was slightly off. Heck, sometimes that happened on consoles without a Game Genie if there was a bad connection, or if it overheated, or whatnot.
But the heyday of game modification didn't last very long, among other things such as the complexity of the device (which rose prices) or that the companies got in trouble and were targeted for legal action (deserved or not), even when newer consoles had it it involved using Master Codes and whatnot which killed experimentation (plus later consoles didn't load as fast and the disc ones even required swapping). I was thinking it was a shame really that younger people didn't get to experience that kind of wild fright, especially one where it occurred when it felt like you were doing something you really weren't supposed to be doing, because with all the weird niche horror communities they'd probably eat that up. At least I always thought that stuff was much creepier than junk like, "Wouldn't it be scary if Mario from Mario 64 didn't have a face? I mean that never happens but wouldn't that be scary?" Yawn.
VIDEO GAME CAGE MATCH:
Did you know in Winter Heat the character B.B. (a mysterious, non-gendered figure in the manual, like Samus kinda) replaces Jef Jansens from Decathlete, and when you win as her she says, "Jef, it's all done"!? You won't even find this tidbit online btw, but if you don't believe me it's Speech 105 in the Sound Test. Also, you can unlock characters (including Jef who replaces B.B) but only in the Japanese version! What other type of game has this deep, hidden lore? Winter Heat wins!