There are two moments that made me jump.
The first was the zombie trapped in the car by the train. If your first encounter with that zombie is with Lee exiting the right door from the train cab, the zombie screams out of nowhere and startles Lee. It can have the same effect on the player.
It isn't quite as scary if Lee comes around the front of the train and finds that zombie.
The second was Lee's dream where Clem turns into zombie.
While it didn't make me jump, the scene in the St. John barn where Lee opens the stall door to see Dan standing there with a rifle pointing at you was also an "Oh shit!" moment.