The sound of a heartbeating - often the last heart worth of health you have. At first, it's slightly annoying. But when you are stuck in a dungeon and you annoyingly can't find any health anywhere, it becomes truly terrifying.
If, at any time while your health is low, you let Link stand idle, he doubles over with his hands on his knees and begins desperately gasping for air. You will find a heart for this boy somewhere.
From the first game, the sound of the level boss roaring in the next room...
How about when you are in the Great Deku tree, and you enter the room where the boss Queen Gohma is? You stand there for a while in the darkness and you hear a scratching sound around you. You look up and see Queen Gohma who is a giant hairy spider with one horrible eye crawling around on the ceiling.
The flapping of Keese wings, especially in packs. Even more so when it suddenly stops and you know you're getting dive bombed.
The battle theme. You're just walking around someplace (sometimes at night when there's no music), and all of a sudden, this music fades in and next thing you're thinking is "Where is it? Where is it? Where is it?!"
Hyrule Field's music is a Variable Mix. When you encounter an enemy in an area that uses it, the music smoothly transists to a more unsettling section of the piece. That's your cue to shudder, especially if you don't know where the enemy in question is.
On the way to the Forest Temple, you have to make your way through a maze of Moblins. They make some bizarre sounds, that strange mechanical grumbling when they're walking and the "GRRRNT!" when they charge at you, looking like they're about to skewer poor Link on their spears.
You know how OoT's battle-music can be frightening? That one from Majora's Mask is much worse. At first, it starts off pretty low-key, but quickly descends into something more sinister, quite fittingly for the darker atmosphere, while at the same time being awesome. You can hear ithere.
In Woodfall Temple, how about those plant-like platforms to get over the poisonous water? Not only did they have teeth, not only did they have a blood-red, gaping mouth ready to snap you up, but they made a horrible fleshy gurgle every time you jump on them.
The Crying Baby Goron from the Goron Village, Hell Is That Noise even for the in game villagers.
Wall Masters and Redead noises are more pronounced now, which at least means you will be less likely not to hear hell coming.
The Wizzrobes teleporting.
The sound the Miniblins make. You're in a quiet empty place, when suddenly you hear "DA-DUN" over and over again as Miniblins swarm from nowhere, coming from behind you and even walking down walls in numbers rivaling ants.
The bird-like enemies in the Twilight areas. What with the trumpet-bell-like things they have in place of heads that they use to make a distinctive creepy noise. Since your horse cannot even outrun them, at least you will know when they are coming.
Crossing the soldier-ghost room in the final dungeon will leave you only managing a sickened staggering motion across some quick sand and hearing a furious, eerie chitchatting surrounding you. Turns out that you are covered with lots of invisible rats. Your partner will visible freak out to if active.
What about the blood-curdling shriek the Twilit Messengers make when they resurrect their comrades? Link and Midna being completely immobilized by it helps.
ZANT'S HAND. That whole segment runs on Nightmare Fuel. You pull an orb of light from a statue eerily similar to a human hand, then get about 10 feet away when...it springs to life looking to take back its prize...accompanied by freaky warbling noises. Now, the hand will follow you all the way to the entrance of the castle. But that's not the scary part. Whenever Zant's Hand approaches, you can faintly hear unnerving musical stings. As it nears, they become sharp musical screeches that grow increasingly louder, dire, and menacing. If it gets too loud... you're about to watch the orb get whisked away by that deranged, disembodied, diabolical schizo-tech monstrosity!!! RUN!!!!
They're usually silent, but let a Cursed Bokoblin cling to you for too long, and it lets out a horrifying, deep roar. It's especially jarring on account of how different it sounds from a living Bokoblin's rather shrill and comical-sounding voice.
That all too sudden tone of your defenses falling away in the Spirit Trials. The slow, soothing music ends abruptly in this drawn out tone, and the Guardians' eyes come to life. Suddenly the sky's turn a hellish orange and the constant clanging of metal against metal is ringing in your ear as the invincible guardians either slowly float after you or chase you down at high speeds...make it stop!