Oh, god, nearly the entire Medical Pavilion of BioShock 1. That damn dentist that's drilling away until you get too close, so the lights flicker and he's gone, only to reappear out of the wall when you've cleared the whole room looking for him... The shotgun you pick up, causing a swarm of splicers to attack you in the dark... ANYTHING involving Steinmann... Can you tell I just replayed that bit?
Let's also not forget the first ever encounter you have with a Houdini Splicer. Following him through Arcadia until you reach a small shrine, and turning around to see him waiting, "HELLO!"
If the Big Sister in BioShock 2 wasn't so loud, then I can think of at least five more from that game.