The Iron Maidens, an even more nightmarish variant of the Regenerators, sound even worse.
The sound of a chainsaw and "Te voy a matar!"? signals one hit killer elite mooks.
Another one from the 4 is the dry, shuffling sound made by the Novistadors. Particularly horrific because they're essentially invisible, half the time. Not to mention the first encounter in the sewer. A very loud SPLOSH followed by an increasingly louder series of sploshes indicating footsteps.
The chanting of the Illuminados Zealots: "Cojelo, cojelo, cojelo, morir es vivir, morir es vivir, HAHAHA!" :WHACK:
The deep piano chord you suddenly hear when you enter the building on the island with the regenrators. This basically indicated the most horrifying part of the game has begun.
The Ganados' raspy hiss or whatever when one of them lunges at you, because it's hard to escape unless you do some quick maneuvering, which can be difficult to pull off in RE 4.
that horrible cry of the rasklaplanje, you know you can't kill it and if it kills you you will be essentially raped by it. Immediately afterwards a chest buster ripoff insues, and makes that God forsaken cry. (Sobs)