When we first started on the trails, of course EVERYTHING was scary! As time went on, almost all those things became a "non-issue". The only thing that consistantly freaks him out is a bicycle. It's understandable--bikes are relatively quiet, and they come up on you quickly.
Strong wind that makes the trees creak. Freaks them out, probably because one winter we had a ice wind storm and 7 trees fell in their paddocks. They were fine, they must've hid out in their run in shed.
My gelding is fairly bombproof, and the one time he has spooked on me it was when we walked by a bush. There was a flock of small birds that took flight out of the bush beside him and he pounced into the air, then landed and lowered his body to the ground a bit as if to say "WHO'S THERE?! I'LL TAKE YOU ALL ON!"
So far (cross fingers, knock on wood...) I haven't run into anything that scares Ellie, at least in the sense of spooking. Vehicles, mountain lions, trains, low-flying military aircraft: it's all "Ho-hum, now can we get on with this ride?" As for the flapping bags, one day I was standing outside the feed room holding an empty feed sack while talking to my friend. Felt a little tugging on it, and turned around to see her with her head in the bag up to her shoulders, calmly trying to lick up the last few grains...