The most terrifying experience I ever had came about five years ago back in high school when a few friends and I broke into a building rumored to be haunted in Mandarin. It was abandoned at the time... The night ended with us thinking we were being shot at, and calling the police.
After breaking in we were walking around for maybe 10 minutes before we started hearing screams, we were all freaked out at that point, but it wasn't until we heard gunshots that we ran for the door and called the police. The police showed up and found absolutely NOTHING, no person, no evidence, NOTHING at all. We were cited for trespassing which only made things worse. It was off San Jose Blvd in Mandarin, which is a pretty low crime area, so the cops were never really taking us too seriously.
We did plenty of research after that night, and it turns out when occupied by Pick n' Save in the 80's there were a number of violent incidents. It turns out one of the clerks was held at gunpoint and murdered, which was completely relevant to our experience, and gave all of us chills.
Another incident unrelated to our experience involved one of the stockers being electrocuted in a freak accident while unloading a shipment. Many more urban legends surround that place, but those are the only two incidents that can be historically verified.
I recently tried going back to see if I'd have the same experience, but the building is occupied now, by a HAUNTED HOUSE of all things!