You got a sound you enjoy hearing in a video game? Be it either the sound of a weapon, or simply your characters footsteps, feel free to post yours in the comments.
Personally I've always enjoyed the countdown timer of Halo Multiplayer when starting a game or respawning.
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The charge-up sound Excalibur makes in Ace Combat: Zero before it fires. Really conveys a sense of menace and power and makes you wish your plane was just a little bit faster.