If I make a fan game that uses copyrighted material, sounds, dialogues etc. from other games but only ever upload the gameplay/walkthrough of the fangame to Youtube without publishing it anywhere else, can the copyright holder still sue me? I live in the EU. I don't want to make profit off of it, just showcase my work to people on Youtube. I would still be okay with the owners shutting my videos down but I don't want to possibly go to court with it. What should I do then? :/
Sound, art assets, writing, etc. used in games are all creative works.
When you create a work that uses those pieces as ingredients, it is a derivative work.
If you have not been granted a licence to use these ingredients to make derivative works, then this is copyright infringement.
It does not matter whether that work is a game, or a video, or a recorded playthrough of a game. It's still a derivative work using ingredients which you have no licence to use.
In some jurisdictions, there are carve-outs made for "fair use" for purposes such as parody or education. These exceptions generally do not include self-promotional purpose as you've described, so you would likely not be able to claim fair use for this case. It's also important to recognize that fair use is a defense, not an immunity: if someone pursues legal action against you, you could try to argue in a court of law that your work should be covered by fair use, but this can be a long and expensive process even if you win. It generally won't stop a hosting service from taking down your work in the meantime.
As in most things, your best bet here is to not steal things that do not belong to you.
If you want to show off your skills, make your own original content. Or, if that's outside your area of focus, use assets that you have licence to use that way: either free/public domain/Creative Commons assets that expressly allow derivative works in their licences, assets you've purchased the right to use in this way, or assets you've contracted & paid artists, writers, sound designers & musicians to create for you.
Most of us here (myself included) are not lawyers, and this is not legal advice. If you want to know whether you might be sued, consult a lawyer. But again, your best bet is to not steal from fellow game developers in the first place, especially if you want to make a good impression on peers & potential employers in the game industry.
The copyright holder would almost certainly go after you, and I feel fairly confident (even though I'm not a lawyer) that they would be well within their rights to do so: you're still distributing copyrighted material that you don't have a license for. You're still potentially infringing on their trademarks or trade dress. You're just doing it all in video form instead of something more interactive.
This is somewhat similar to how Nintendo (and potentially others) have gone after people who post "let's play" videos. Although potentially worse for you, since it provides documentation that you've created the game as well, which is a violation of copyright even if you never distribute it.