Ah, Killswitch--a game that turns the creep factor up to 11. Produced in the late '80s by Russian developer Karvina Corp (which has since completely vanished), it starred a young girl or an invisible demon, depending on who the player chose. Then she (because no one ever won with the demon) would travel through a coal mine, platforming and completing puzzles until she reached the end of the game--at which point it would delete itself entirely. Perhaps the final remaining copy was sold in 2005 to a man named Ryuichi Yamamoto for $733,000, and he planned to record himself playing it. However, only one video ever surfaced: a clip of Yamamoto at his computer, crying. Oh, um, wow.
Verdict: Creepily enough, this urban legend is one of the most likely to be true, since the technology to do it did exist. The why is harder to answer: if they were trying to send a message, they probably should have been clearer, but if their goal was to freak out a bunch of people for no reason, then mission accomplished. Also, the video of Yamamoto? As far as we can tell, totally doesn't exist.