I've told this before, but Arx Fatalis has this crypt level that's actually pretty creepy, at least in the beginning, and I was quite tense while I explored it really slowly, in fullscreen mode. It has such great atmospheric sounds and I had the volume turned up and was totally immersed, when all of a sudden, I hear a very loud and high-pitched voice saying
"Uh oh!". Gave me quite a start. Turns out I still had the old ICQ messenger running in the background and a friend was messenging me out of the blue ...
As for Skyrim, I tried to sneak up on some bandits in a dungeon or something, when I suddenly hear a loud voice talking right behind me. I thought I was caught, but it was actually just my follower who didn't think sneak mode called for keeping your trap shut, so she was happily chatting away. Not that the bandits were any smarter, they just chose to ignore her loud talking. :P