Vagrant Story's dungeons creep me out, even though it's not exactly a "horror" game. Most of them are the subterranean depths of an ancient city, and they have some of the creepiest ambiance I've ever experienced. If Zelda just had a dark, foreboding place with creepy moans and groans coming from no place in particular, then it would be satisfactorily scary for me. Cliche morbidity and gore don't scare me as much, but if there's a dark and oppressive atmosphere, then I tend to get creeped out.

Seriously, just pay attention to the noises in the background. It doesn't have the same effect there as when you're actually playing it alone in a basement at night, but it's still a little spooky.