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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Not a video game sound but I always loved the sound when the PS1 loaded up and the icon appears on screen. Just leaves me with a strong feeling of nostalgia. The PS1 was the console that made me a gamer.