I've been freaking out while playing Oblivion, sometimes to the point where I have to check the room's closet. I'll be sneaking through a zombie infested cave, and walk right into one of the shambling undead. I can see every detail of their hole filled bodies. Same with vampires, they just creep me out. Dark Brotherhood missions and the Thieves Guild missions always scare me when I'm sneaking around and I'll suddenly hear loud footsteps. Yeah, I may be somewhat of a scaredy cat, but who cares, I know I really don't.
Note to self: Stop playing at night when everyone in family is asleep.