I have two stories to tell.
In STALKER: Shadow of Chernobyl, I came upon what is colloquially known as "the Bloodsucker village" in the dead of night, thinking that my low-end pump-action shotgun will be enough to handle whatever might come. Oh, no. No no no. What I thought would be an easy house-to-house clearing expedition turned into me being on the bad end of a game of "hide and seek", where I was forced to perch on the roof of a building and take shots at floating pairs of terrible glowing eyes. Then I went to the silo, and saw an injured man lying on the ground. *snarl* "OH SHIT, IT'S BEHIND-" *blam blam blam*
The second time through, I thought I'd be smart and go just after dawn. Just as I'm going up the road to the village, the skies cloud over. Cue heavy thunderstorm. Cue me whimpering profanity.
(I used to hate Snorks too, but in Call of Pripyat I was wandering the first indoor area you come across, and a Snork did a scripted leap up through a hole in the floor. I did a 90-degree spin and trap-shot the thing in midair. Every time I see them now, I remember my little moment of awesome there, and then I can't feel fear.)
Then there was Thief: Deadly Shadows. Oh, the Shalebridge Cradle. The echoes of memories of screams. The cloying, oppressive atmosphere. The Door. (If you've played it, you know what I'm talking about.) On my third playthrough, I was attempting to "ghost" (finish the mission without being detected) on Expert. I was creeping through a half-lit corridor when I realized I was just about to stumble into one of the Puppets. As fast as I can, I slam myself against the wall in the nearest corner, thinking the thing would stroll on by. Instead, it walks up right in front of me, so that its left shoulder is about four inches from my chest, and it stops. And twitches. And breathes. So close that I can see the faint impressions of its eyes and mouth in the leathery mask over its face. For ten seconds it stands there, head jerking about, teeth chattering, body shuddering... and then it finally turns and walks away.
And I realize I, the player, had been holding my breath the entire time for fear that IT WOULD HEAR ME.