You're going to laugh, but I swear the following happened;
The game was Stonekeep. An old school dungeon crawler inspired by the old Eye of the Beholder games. It's not an especially scary game. Or scary at all, really.
One night I'm playing it late at night, just me in the house - and the game crashes. Now Stonekeep was a buggy mess of a game at the best of times, and crashes were common, but this crash was a little different;
There is a part of the game where you walk through a secret wall (With a big 'whoosh!' sound and zooming-in effect) to see a Dwarf who is busy facing a wall with his back to you. As I took an in-game step towards him the screen froze, then jolted back a frame. The graphics palette inverted colours and then lines of game code were superimposed on the screen, and then the screen went black.
The speakers blurted out;
"MY MASTER WANTS YOUR SOOOUUUULL!!!!!"
And then the bulb in the room blew out, leaving me in darkness.
I very nearly soiled myself in terror. Absolutely nobody ever believed me about this but I swear it happened. I actually recently bought the game from GOG.com but I've been... hesitant to play it again.
Sorry if this wasn't exactly on-topic, but I hope you found it entertaining nevertheless.