When I lived on the family ranch in Central Texas, I went walking in the field near a ravine about dusk one evening with my 2 year old on my shoulders. We weren't 10 minutes from the house when I heard a cougar scream. It IS the most hair-raising sound, just as I had always heard. Sounded just like a woman screaming bloody murder. I went right home & we walked (or cycled) the road thereafter.
I saw one near Marble Falls, very late in the evening about 10 years ago. It jumped over an 8' game fence as easily as a house cat jumps onto a chair. We heard it scream later that night and it is indeed hair-raising.