I think it's a great solution, but I think it is a difficult one two perspectives:
1) Creating the content for believable companions is hard - especially these days. You need a ton of animations, detailed art, etc, etc. In addition, people expect VO and some form of interaction in order to emotionally connect, rather than someone just following you around silently.
2) Making you feel as scared when you aren't alone is a bit more challenging I think. At least for Neverending Nightmares, loneliness is a huge theme, and I think it really contributes to the mood. I'm sure Hell Night did it well, but I think it's not something that can work for every game.
Still, I agree that more games should try it! I read the Hell Night review a while back and completely forgot about that feature of the game. Thanks for pointing it out!
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