The dying soldier in the back alley in
OoT. Hes not scary himself, but his situation is terrifying. Its a sort of Fridge Horror/Adult Fear thing. Just think about it. He saw his King killed, his liege's castle razed, his fellows slain, the Princess being taken away....He took a sword or spear or an arrow for the sake of the kingdom only to crawl to the back alley and wait for Link. On Zelda's words, he did this. "You must find the boy from the forest! YOU MUST!" And then he does finally meet Link but dies right in front of him. He may have had children...A wife...

Its both heartwrenching and terrifying.
Romani getting probed by those....Them. What are those things exactly? They look almost like wingless Mi-Go! They take the cows and Romani and do...something to her and shes all "fshgdf." Yeah....scary...
Ancient Cistern. You know the room. It doesnt look scary really. But then you reach that room and the zombie guys come up and try to pull you down. Sure they arent very scary looking, but think about it....
Zelda II. Ever thought of the game over scenario there? The main story says that Ganon's followers seek Link to slay him and sprinkle his blood over the ashes of Ganon to revive him. Game Over screen says RETURN OF GANON. Yeahhhh think on that for a good moment.
TP, what happens to Kakariko village before Link got there. O_____o
Wow Zelda has a lot of Fridge Horror!!!!