For me it was Resident Evil 3 in the police station. The tension is built and then the Nemesis smashes through the window. I screamed like a little girl and switched the console off! My mum thought I had hurt myself lol.
I remember this very clearly, I was playing resident evil 2, and i had a dualshock controller lol very first game I've ever played w/ the controller, and I was walking and stupid things jumped through the windows and the controller shook and I freaked out and just tossed it across the room XD