Ok then, lessee.
A Masque of the Red Death adventure had me really nervous - some creepy old guy kept wandering the halls of the orient Express with a cane - 'tap... tap... tap'. Corny, but made me sweat just a little.
In a fantasy adventure, the ranger/bounty hunter/constable/adventurer who had saved my character from gaol and certain sodomy at the hands of a depraved baron got killed by a troll warlock, securing my escape. I was fairly gloomy about that, until he turned up, beaten but alive. I can remember a palpable feeling of happiness about that. (GM's, take note: the old chestnut of haivng NPCs just constantly doing nice things for the PCs to earn their trust works!