Anything that requires fast responses and twitch-reflexes. Quake, DOOM, the revival of “boomer shooters”, all of those I’d say is the complete opposite. Not to mention they often have some pretty bleak and desolate settings. Running at 100mph and shooting everything within 0.5 seconds of seeing the enemy is not what I’d describe as “cozy”.
Just within the games that I play, I would say having an oxygen meter removes a lot of coziness, but I can't think of any that I would describe as hectic.
The most ridiculously stressful and hectic game that I've played recently was Outlast Trials, particularly in the highest difficulty levels. Unlike a lot of the other suggestions, Outlast Trials doesn't require twitch reflexes or shooting skills, although they can be helpful. What Outlast Trials really takes, though, are crazy on-the-fly planning and stealth skills, and when that inevitably fails, a great sense of direction and the ability to flee and hide, often from multiple enemies at the same time. I've had rounds that lasted 45 minutes and I probably spent almost half that time running for my life, and the other half praying not to be detected. It is not cozy.
I do think games like DOOM can be relaxing in a way because they allow you to turn off the thinking part of your brain and just rely on reflexes and muscle memory, whereas complex games like Civ 6 or XCOM on high difficulty require a lot more thought and planning.