Many, many endings in Choose Your Own Adventure books result in your death or worse. A good portion of these are accompanied by a detailed drawing of your Oh, Crap moment, the actual moment you leave the planet, or both. These occur so often that entire websites have been established to showcase the worst ones. Another fair sample can be found here (including lots from Judith Mitchell, who reveled in these - her illustration to the right here is a mild example of the trope).
In the Fighting Fantasy book The Warlock of Firetop Mountain, the eponymous Final Boss will have one if you use the Eye of the Cyclops against him.
While many of Lone Wolf's enemies give an Oh Crap reaction when the hero inevitably derails their schemes, the Darklords you face in Book 12 are great examples. After spending the entire series struggling to stop their forces from destroying everything, seeing these ancient incarnations of evil voiding themselves in fear when they realize Lone Wolf can actually kill them is extremely satisfying. The best one out of all of them is Archlord Gnaag's expression of "panic blazing madly in his eyes" moments before being atomized by the Sommerswerd if Lone Wolf brought it with him.
Big Bad Ixiataaga in Book 17 has a similar reaction when he realizes Lone Wolf has a weapon that can kill him. His panic causes him to use nearly all of the power of the Deathstaff in a HUGE energy blast in the hopes of killing Lone Wolf instantly. Provided Lone Wolf survives the attack, Ixiataaga is then stuck trying to fight him with an uncharged Deathstaff. Still pretty strong, however.
A good one from Vonotar the Traitor in Book 3:
"Who dares disturb me?" he hisses, rising from the Brumalmarc throne, his eyes searching for an intruder. Upon seeing you, he emits a horrified gasp and fumbles for his black staff. He has the look of a criminal who has been discovered in the act of some dreadful crime.
Lone Wolf himself throughout the series reacts with fear every time he encounters the horrifying Crypt Spawn. It really doesn't help that they are a favorite summoned minion of the major villains. He also reacts badly to the Mech-Wulf in Book 20 — the sight of an enemy devoid of any actual life or even un-life scares the hell out of him.