The Wow! signal. Used in the movie "Contact" (or at least the inspiration for the alien signal).
You can listen to it here.
Sped up it sounds like a speech pattern. I've read a theory that it was possibly a (very old) message coming from probe or ship traveling at sub light speeds (hence why speeding it up makes it sound like a speech pattern)...though it sounds suspiciously human to me. Not saying I buy it but still makes the hair on my neck stand up.
Also Pulsars.. No mystery (anymore) about them but they creep me out...but in a "isnt space weird and awesome" way.
EDIT: Since assumptions run wild on reddit, I wish to clarify I am in no way saying I belive the Wow signal is alien or from a spaceship etc. I was simply repeating one of the many theories I've read reguarding it. The only thing I am saying is that I find the whole thing an intresting mystery. Nothing more, nothing less.
I'm also aware that there was no audio recorded at the time the signal was recived/picked up in 1977, just raw data. The audio provided is a conversion of that data into audio (much in the same way any current media system converts data to audio) rather than a direct recording of the event.