thats the noise my gas cap makes as I take it off. Is this bad?
it happens cold or hot if that matters.

 

It's just preasure releasing from the tank - nothing to be alarmed about.

 

Mine does it if I run the tank all the way down to bone dry.

 

No, it's good. In fact if you loose the gas tank cap seal the car will not run properly. It's all part of the emision requirements.

 

Oh good cuz i have an SES light that comes on and read an article where this was considered bad but i guess it depends on the car.

 

Older car were vented directly to the atmosphere. If the vent line became clogged or crushed, the pressure in the tank would go down as the gas was burned. This could lead to vaporlock at the least and possibly a collapsed tank at the worst.
In modern cars the tank is vented to the exhaust emissions system which creates a slight vacuum on the tank. This is not a problem for the in tank high pressure pumps. Most owners manuals tell you to make sure that the gas cap clicks three time when tightening, or to make sure the cap is tight. The maintenance manual has you trouble shoot this for specific failure modes.