IRL I don't, I usually just step back back (or jump) and have a suprised look on my face.
When I am playing games it's different, I started screaming like a little girl when an elite with a sword almost ruined my flawless cowboy on halo reach.
The momment that scared me the most in gaming was in S.T.A.L.K.E.R. Call of Pripyat, it was 2 AM IRL and 11PM in game (at this time you can't see a thing outdoors), an emission starts and I need to find cover, I see a small cave and run to it, once I step inside I hear a growl and a scary voice telling me to walk away while I had the chance.
I screamed, I jumped back, my left hand pressed random buttons on the key board while trying to look for the pause button, and my right hand sent my mouse flying, after that I was so to scared to continue so I turned on all the lights in 1st floor, and sat on the couch hugging a pillow... good times.