Perhaps it's because making an audience genuinely believe a main character is in peril can be hard, but torture sequences have often been the go-to technique to make a protagonist feel vulnerable. While they might not be able to die, a main character can definitely become disfigured or be completely internally broken before a story is out.
However, while these scenes have been present throughout movies and TV for decades, video games are uniquely equipped to make these sequences even more harrowing than they may otherwise be. By putting players into the shoes of the torturer or the victim - or allowing us to take direct control of the characters - developers have been able to create some brutally violent and ridiculously intense torture scenes over the years.
Some games have gone further than others, and have created sequences so outlandishly over-the-top that you get the sense that they must have been competing against each to see who could create the most gruesomely violent scenarios imaginable. They've resulted in moments that have kept players up at night still wincing at the mere thought of them, and they've set the bar for general uncomfortableness going forward.