The statue on the moon, getting closer to Link just as he changes the camera angle... WITH NO SIGN OF MOVEMENT AT ALL. Something similar was the statue appearing on the fourth video behind the last tombstone.
One of the most terrifying moments in the entire ARG comes a day or two after you download TheTruth.rtf: It's not there anymore.
The video in which Link walks around with his back turned horizontally while his eyes are decidedly... different looking. Hell, all the videos themselves except for huntyoudown.wmv.
One video is nothing more than underwater sounds with the text, "No one came." It's BEN drowning.
How about some fridge horror? Much of the story is uploaded by Jadusable's roommate. Jadus lives in a single-bed dorm.