Sure I'm forgetting some, but here are my initial thoughts in no particular order:
Condition Wed (red)! - Bosconian
Welcome to your doom! <Laughter> - Altered Beast
Invincible ghost arrival - Bubble Bobble
Bang! - Rally X death noise, which seems to be particularly loud. Probably more startling than scary, but I hate it.
I will second the Wizard of Wor nomination
Was trying to think of maniacal laughter, evil cackles, or something similar. The only one I came up with in that category was the zombies in Legend of Zelda: Ocarina of Time with their high-pitched wail <shudders>.