Thinking I lost a dragon priest mask. Until I remembered it's not labelled as Dragon Priest mask, but Volsung.

Discovering a part of the Gauldur amulet wasn't in my inventory anymore after Escape From Cidhna Mine. Even though Madanach supposedly gave everything back to me. A few days later, I suddenly discovered it had turned up again in my inventory. I guess items want to try out invisibility too once in a while ...
Finding out my pride Ghostblade has disappeared from its weapon plaque in Honeyside. Remind me why I keep that useless housecarl (alive) again?!
/rant
Seriously though, the chaurus can be pretty scary, especially if they're super big and you didn't immediately notice them until they spew poison at you while you discover you're surrounded by loads of smaller ones. On that same note, Frostflow Lighthouse was quite thrilling in general.
Oh, and Sounds Of Skyrim: The Dungeons makes cave digging always more 'pleasurable'. Hearing those rickety wooden supports in mines actually creak for example is very unsettling ...