Use "that" to refer to an example that someone gave earlier in the conversation:

A: You know, my house was robbed once. They broke in and took all of the valuables, and the weird thing is that they also took a bunch of food out of the kitchen.

B: Oh my goodness. That must have been so unsettling!

To refer to an example that you are going to give, use "this":

Oh you think that's scary? Listen to this one! I was mugged at gunpoint once as I was walking away from an ATM.

You would then continue with your example.