Loc: Sittin' Pretty in Fat City
I've had up close and personal encounters with bobcat, lynx and cougar, but never heard the cougar scream up close. The former two will certainly wake you with a start and "ungodly" is about the best descriptor I can think of. There are healthy populations of lynx higher up in the catskills but probably not near you unless they are hurt/sick or otherwise impaired. My money would be on bobcat, which are very unlikely to bother you.