I have two. The first happened when Hojo revealed himself to be Seph's dad. The mere thought of Hojo "getting some" sends shivers to the core of my soul.

The second is when I encountered Demon Wall in FFVII. I died about 7 or 8 times before killing. Then I played FFIV and it showed up again.... S@#$!!!!! Then I played FFXII and TWO Demon Walls showed up which caused me to say a clearly audible, "WTF!?!?!?!?!!!"