The only game that really made me jump in my chair was the first Clock tower, on the snes. In one of the "bad endings", while running away, you enter in the elevator, the doors close, and then, after waiting the same amount of time you're normally waiting for the "ping" sound, you hear the crunching sound of rusty shears closing on flesh immediately followed by a scream. Then there is blood flowing from under the elevator's door. All without warning, in the middle of a "running away from horrible things" sequence. It gave me the goosebumps each time.