I've had this experience once every few nights for the past year or so. As I begin to fall asleep, a sudden perceived loud noise (it varies, could be a gun shot, explosion, clanging metal, or even a scream) awakens me in fright. I mean this noise is LOUD. It is painless, so its really just an annoyance in the long run.
No one is certain what causes it, but it is believed to be a delay in fully switching the brain into the hypnagognic state, so you consciously "hear" these sounds in the waking state.
http://www.sleepeducation.com/Disorder.aspx?id=33