First time seeing Pyramid Head. Then the second time. Then hearing it lumber around. Then entering the last room, turning around and OH SHIT THERE IT IS
Of course, the Deathclaws in Fallout 3. First time seeing one there were actually two, fighting a squad of Enclave soldiers (who, previously, had been wrecking my shit up). They killed the Enclave soldiers no problem. If it hadn't been for the huge amount of explosives nearby... I don't wanna think about it. After the explosions died down, just one was left, it saw me, and I shit you not SPRINTED at me faster than I could react. It had like, 5% health left and it still took a couple of good, hard shots to bring it down. The best part? Discovering that now, Deathclaws are everywhere and only I can survive one so NPCs won't kill them as they go.
Half-life 1, after ending up on the alien planet. In this case, the "THAT" I didn't want to fight was every muthafugga I saw there. Of course, after that part they all become enemies in the game... even the big ones.