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Oh yes, SA-X and nightmare, just seeing/running from them before you fought them for real made them much more terrifying (and considering how easy the SA-X was when you have to fight it, that was really all the made it terrifying). The Omega pirate was probably the scariest Prime boss for me, though the whole deserted frigate tutorial I thought was quite creepy as well. If I had to pick one over all though I would probably pick nightmare, if just for his oozing eyes.