lol i don't really have a specific reaction (sometimes i punch the person who tried to scare me).
but i do have a friend who has your exact same reaction (plus hanging on to anyone around him), one time we were in the movies watching a horror movie, and a scene came up that had a MAJOR MAJOR jump scare ........ dude his reaction scared the whole place more than the movie and i was so close to beating the crap out of him.
It depends if its sad & bad, then i'd probably cry. If its just bad, then i'd get angry and freak out with my heart pounding 1000 times more than usual haha XD