There wasn't much that disturbed me other than... that part with Astrid (trust me, if you haven't got to it yet but will, you'll know what I was talking about.) There were a few things that just scared me, though.
It was really early on in my first playthrough. I finally unlocked the third word of Unrelenting Force. I went into Whiterun to test it on a guard. I really didn't expect him to go soaring like that. XD That wasn't what scared me, though. After laughing my intestines out of my anus, I look behind me to see a guard, walking in my direction. I was kind of creeped out, so I walked onto another road. He walked onto that same road. I made a left. He made a left behind me. I eventually was just walking in routes that didn't make sense... and that damned guard was still behind me. He was following me. I ran away, towards the Cloud district. I came to a dead end, and the guard was behind me. "This is it," I thought to myself. He's gonna kick my ass. He slowly walked towards me. He just kept getting closer, and closer, and closer. He finally went up to me. He said to me, "I need to ask you to stop! That... shouting... is making people nervous!" He was just trying to tell me to stop shouting the whole time! He wasn't trying to kill me for making his buddy fly! Phew! Then a dragon landed behind him, grabbed him with his teeth, and threw him across the city (okay, maybe I made that part up.)
There was another time. It was my second dungeon, with my first being Bleak Falls Barrow. It was pretty dark, and I think I had the music turned all the way off. I was wandering through the halls, trying to navigate my way and find a quest. I kept walking on. I heard a noise. I got scared and drew my sword... nothing was there. I finally made my way to a large room,
AND THEN A SKELETON POPPED OUT!
Seriously, though. a skeleton came out of nowhere and it scared the living pl*ps out of me.