I personally find being droppe dinto a lethal (albeit exciting) situation where you can potentially die in the first minute or so of gameplay is frustrating. Since I am not yet invested or enjoying the game, I find most games that do that with little to no lead in, set up, or chance to get acclimated, makes the game annoying, frustrating and (since I'm not invested) shelved almost indefinitely. I have a whole pile of games liek this that I really should go back and try again and see if I can get past the early headaches.
And sadly that, I think, is a possible bad bi product for starting on an intense moment. I rather like the slower and more moody start to say, silent hill 1 or 2 because it takes a few minutes to establish a lot of things and give you some stuff to enjoy before the creepiness sets in. If i can at least get drawn in by SOMETHING (whether it be a intriguing story set up, interesting characters, great visuals, haunting music, simple but satisfying gameplay, etc) then I will make it past the frustrating learning curve most games have. Suffice to say I will never EVER play through dark souls or demon souls..lol
when considering this I think it is good to consider the players Investment in the characters/story and how engaged/immersed they'll be initially, at least when thinking of narrative driven adventure/psychological horror/interactive experiences. Taking a long arduous journey to find all the answers and unlock all the secrets of a world is a big investment, and if from the first few steps it is difficult and frustrating, I think it'll be hard for most gamers to fight past it and keep going.
With NeN i think that's something you got right. you have a cutscene to check out and draw you in, then a more gradual build in intensity. It is slow, but if you ramped it up too fast you'd have to then keep the momentum and pace going at that faster pace and really find ways to escalate it (which is possible, but challenging).
Mind you for a sequal where there is already significant investment (hopefully) for the characters and story, it isn't necessarily bad to start in an action packed moment. Like Uncharted 2, which has the entire first game to really help flesh out the players affection for the gameplay, setting, characters and general design.
There is also the learning curve to be considered. if the game has a significant one to get all the abilities, controls and moves, starting off throwing the player to the wolves without a slower tutorial or practice test is going to just piss the players off royally. If there is a very MILD curve, with limited/no interaction aside from navigation, then it is not as critical to devote a lot of time to a slow quiet build (like in NeN the controls are very simple and intuitive so you can hit the ground running and not get immediately frustrated).
in terms of scary/psychological horror type things, even if there is no clear narrative, I find it much more effective and interesting to do things that creep into the player without them realizing it. Start them off curious, investigative, and as things progress they naturally grow in stress and tension and before they know it they're whipped into a terror and without knowing how they got there, are also less likely to quickly come down and let it dissipate. If you start off with "spooky" and JUMP SCARE from the get go you get this rhythm of 'engaged but not scared' to 'OH CRAP' and back to 'engaged but not scared' which is what i think a lot of cheap movies/games do because it's easier than the building terror. the downside is that most of those games/movies are generally forgettable and repeat viewings show they're far less effective. With slow burn style, even with repeat viewings the general atmosphere and creeping death that gets you in ways you can't really identify/understand means repeat expose still produces a similar reaction (and also affords the player/viewer a lot more nuance to discern from the imagery).
As an example, think of a typical monster from a game that is easily identifiable, like say the more recent 'nurses' from silent hill that keep popping up. Now think of some of the weird wriggling masses you can barely see behind glass or mesh in parts of say silent hill 2 that you can tell are "messed up and disturbing" but beyond that it's hard to know WTF you are looking at. After seeing the nurses over and over they lose their scariness, but those weird shapes you can't quite see... they'll always be unsettling and get under your skin.
I think going with something hard to understand (that maybe has to be imagined, or forces the player to fill in the gaps themselves to much more gruesome result) and not as wrote is harder but much more satisfying and interesting (especially for the long term) and with that kind of experimental design, you could go in a lot of interesting direction. Going with typical formulaic tropes.. not so much, because you have a set backbone to build off that is both familiar and also far more rigid.
So yeah, slow burn, complex layered effects that disturb and creep out the player over time, unsettle them into a sense of fear and terror in ways they don't understand, avoid doing what they expect but don't over-frustrate them with a tough learning curve control scheme and game logic too quickly.