Harold Prince directed the show so that there is a SURPRISE in every single scene. So you should be aware that in every scene, there will be something that will jostle you/shock you/surprise you/make you jump etc.
The two places where you can physically see audience members jump in their seats is definitely the two gunshots that have been mentioned before. However, the second gunshot, as Phantom is running off the stage with Christine at the end of Don Juan, elicits far more jumps because it is such a chaotic scene. With the first one, the marksman is in the pit and everyone finds that so hilarious, and then doors start slamming shut and he keeps pointing the gun everywhere, so by the time he fires it, it is pretty much expected.