Piercing means loud or intense, like the piercing scream of the heroine in a horror movie or the piercing cold of the wind on a frigid February morning.
The adjective piercing comes from pierce, which means to poke a hole in something with a sharp object. If you've had your ears pierced, you get the idea. Things that are piercing are figuratively sharp, like a piercing look from an angry teacher, the piercing cold of the ocean, or the piercing sound of your smoke detector. There's also a shrewdness or intelligence that can be described as piercing: "The piercing insight in your book report was impressive."