ANYONE HAVE A VOICE INSIDE THIER HEAD??

Do you mean an actual "voice"? Like it speaks to you on its own? As if sentient, or aware of itself? Or do you mean you have a nagging "inner" voice? Because I think everyone has an "inner" voice. Call it your conscience, or even deeper, the ID (thank you Dr. Freud). Mine is active all the time, reminding me of terrible things, of how bad I should feel...but it's not so much a "voice", but an indistinguishable string of memories and thoughts that sort of pop up all the time. But if you have an actual voice speaking to you, like it's somebody else's voice, you may want to seek some psychiatric assistance. Actually, either way, you should probably talk to someone. It sounds like you're feeling bad about yourself or some instances in your life. And it was important enough for you to get it out, and you did it here. Which is a good start. But you really need to follow this up with professional help.

Hope I was of some help...

-Steven

Yes I have heard a voice - very loud and it makes me jump , the person I saw told me it was quite common for people like me (depression , anxiety , panic disorder) but I'm not sure why it happens?

I think Steven has given a great example grouphug and either way it is most likely wise to discuss it over with your physician.  Please let us know how it goes....