I don't panic that easily...
However, I remember one specific event in my first PlayStation game (which was also the first game I ever owned in general) that made me quite jumpy. The game, lo and behold, was none other than...
Spyro 2: Getaway To Glimmer.
It remember it so clear: the homeworld: Summer Forest; the level: Hurricos.
There's a certain orb-assignment you need to do for an electroll: place all the energy spheres back in their place to power an electricity tower. However, there were Monsters - Gear Grinders - that would constantly steal away the spheres.
Every time they would come, a loud alarm would go of and you would hear the creepy laugh of the Gear Grinders. Both that alarm an that laugh creeped me out for a long time.
I recently played it again, for nostalgia's sake, and I still can't believe that something so silly managed to startle me.