Well... My mum just turned off the power for the PS2 off at the socket and I'd just nearly completed a difficult level in Spyro Year of the Dragon... At least the game wasn't saving... I could've gotten corrupted save data! (And that means... a wasted 2 days!)
In an actual video game though? Luigi's Mansion, first time I saw Bowser's head come off. I'd heard about it but I wasn't expecting it to breathe fire at me! I thought "How the heck is that even possible??"
I think I crapped my pants as much as Luigi did that day.