Someone mentioned the George R.R. Martin short story “Sandkings” on MetaFilter. I read this as a kid and it scared the hell out of me. To my surprise, I still think it’s kind of great. And my thirty-year-old memory of the last sentence was word-for-word correct.
I read this in the August 1979 issue of OMNI, a subscription my parents bought me because it sounded educational. In fact what I got out of it was nightmares about sandkings and the understanding that you could sharpen a razor blade by leaving it under a pyramid overnight.
The other really frightening story I remember from OMNI was “Fat Farm,” which according to Wikipedia was by Orson Scott Card and appeared in the January 1980 issue. Remember when Orson Scott Card was good? Looking at the first page of this story on Google Books, it seems he wasn’t as good as George R.R. Martin was, back when I was eight years old and easy to frighten.