I just did a Google search for the Left 4 Dead Witch. Eww. She's as creepy as the Pale Man.
They're kind of similar in conception (and hey, let's toss in Slender Man too!), except that Pale Man is slow but inexorable and steady, he will catch you if you don't get out, and you can always see him clearly, see that he is coming for you; the witch actually is in shadow so you just see half glimpses of her as she screams and runs towards you... so, they're like flip sides there, it's the kind of thing where you scream and fumble at the keys because you just know SOMETHING is coming for you and it's just too fast and you can't quite make it out.
But getting back to my description of Pale Man, inexorably coming for you: That's the premise of "It Follows" which just came out a month or two ago. And it's the same thing: It's coming for you, slow but inexorably. You can even see it coming if you recognize it. And it never speeds up, never changes pace... but it never STOPS. As soon as you stop running, you're allowing it to catch up. There's just some really terrifying shots when it gets into people's houses and how it manifests. And of course one of the broken bodies of its victims that shows up early in the movie... gaaaa...
There's stuff in The Babadook too that is unsettling after -- not just the damned book and The Babadook scuttling around and making its noises, but the thought that maybe it's just not an external monster at all but something dark inside each one of us... so you can't escape it.
But as long as we're mentioning video games, how about the EVERYTHING from Silent Hill 2?
Silent Hill came to mind but I've actually never played the games or saw the movies, so I didn't want to commit unless my indirect conception of the movies was accurate...