The two correct answers are:
The verb surprised takes the objective case me.
The pronoun they is the subject of the verb shouted.
In the sentence, "me" is the direct object of the verb "surprised," and therefore takes the objective case. Meanwhile, "they" is the subject of the verb "jumped out and shouted," and therefore takes the subjective case. Italicizing these pronouns helps to clarify their roles in the sentence.
The other answer choices are not relevant to the sentence and do not accurately describe the use of pronouns in the sentence.