First time playing RE:4, it was the section before the boss fight with the giant fish (Del Lago), my uncle, who'd played through, told me to stand on the dock and shoot at the water. So I did. Then the fish ate me, and I was really pissed with my uncle, and annoyed that I'd actually yelled "HOSHII--"
Then there are the Krill from Gears of War, those damned little hellions...
And when I was a bit younger, the Marionettes from Devil May Cry, especially the Bloody-types, they'd scream, string you up, then eviserate you.
Oh, and the Hunter, from Dead Space, when you have critical health; his execution [http://www.youtube.com/watch?v=QZifGSXerAY&feature=player_embedded] was one of the most jaw dropping one I'd seen in that game.