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!

STAGE SELECT: Personally?  Probably nothing really, all the rareish stuff I have (like Tron Bonne and Mega Man legends PC complete with box, I think that's worth >$100 at least) I actually purchased brand new.  Even like the NES garage sale games I got as a teen were never worth much I believe.  A lot of the retro games I really, really like I found as an adult and never had as a physical cartridge or anything.

But, hmmm, maybe I can share this if I'm vague.  I found a rare video game on eBay, the kinda that goes for hundreds of dollars the few times it pops on auction sites, for about $50.  I sent it off to a preservation site to see if they could do anything with it but unfortunately the methods just aren't there yet for the thing as it used some newer components, and really it's not popular enough to have anybody working on it since they can work on more popular stuff.  I did get some cool pics out of it lol but afaik it's just in somebody's closet right now.  I still check auction sites looking for another copy that I could own personally, but it's been many, many years and I've only seen it pop up, at it's expensive prices, a few times!  At least I got to play it a little before I shipped it off which is kinda cool too.

CAGE MATCH: What do you get when you cross the protagonist of Super Meat Boy with the protagonist of I Am Bread?  A real hero.  A real hero.  Like a hero sandwich.  Fuck you.  Super Meat Boy wins!

STAGE SELECT:
Sorry for the double but I'm going to go with the classic: escort missions.  I'm actually usually pretty ambivalent about them in general but it does seem like when you get a bad escort mission, woof.  I refuse to believe anybody actually beat Goldeneye, especially on the harder difficulties.  You can still say "Natalya" to somebody that had Goldeneye and they'll shoot off curses like a knee-jerk reaction.  RareGamer.com has this to say about it, "In later missions, Natalya would wield her own firearms to take on Janus‘s henchmen, though turning the weapon up to her own face before firing might have made things a little more painless."  Fun fact, they made a pseudo-remake of Goldeneye for the Wii (replacing the model with Daniel Craig of all weirdness) and, despite many of the sections being very different, one where you protect her (Control) is, yep, also game-endingly awful.