Well, there's this one act of A Hat in Time that has earned the game the title of "psychological horror game." This level is the Vanessa act, and in it, you must hide from the wandering Vanessa without the use of any hats or badges, all while navigating her ominous manor. Probably the scariest part about it is the way the screen goes a little insane while Vanessa is chasing you or is in the same room you're hiding in. According to the storybook, she's just heartbroken(her lover was buying flowers from some redhead chick, and she completely misread the situation), and was cursed out of pure obsession. As of the Vanessa's Curse DLC, it's canonical that she is able to spread this curse to others, and use intruders that she's caught as puppets.
In short she's a scary, cursed, and obsessed peck.