Wallmasters, Floormasters, and any offshoots they have are largely regarded as some of the most disturbing things in the series. They are disembodied hands that crawl around on their fingers. The Floormasters swipe at you with their finger-hands or turn invulnerable and fly at you, and when you kill them, they split into three small ones that do more damage and grow into big ones. The Wallmasters hang on the ceiling, invisible, until you walk under them. An ominous Leit Motif plays, the room grows darker, a shadow appears on the floor, and you have a second and a half to jump out of the way before they fall down, grab you, and carry you to the start of the dungeon. It's a good thing they don't appear in the Water Temple.
In Spirit Tracks, Keymasters appear. They're basically cel-shaded glove-like hands with an eye on the palm. As the name suggests, they will chase you down and steal the Big Key from you. In Twilight Princess, Zant's Hands do the same thing with Sols.
Like-Likes, the 3D games and Majora's Mask at night in the Great Bay especially: Their appearance, the way they move, the sounds they make, there isn't a thing about this creature that doesn't ooze eerieness.
This video shows a great reaction to a Like Like in the Fire Temple. The person screams and starts to laugh/cry at the same time. It's hilarious.
Worse: In Ocarina there's one early in the Spirit Temple in a room with a climbable wall that will actually fall ON TOP of you.
And they make such a horrible noise that you can't get away from it no matter where in the Great Bay you go.
The hidden holes and caves are usually very creepy, especially when live NPC's reside in them!
Or, in the case of the two N64 Zeldas, a live cow!
The very first(?) Zeldamanga is notable for its many interesting changes to the source material—unfortunately, one of those changes is the manner in which Ganon is depicted◊. Originally, he was a giant blue pig; here, he's a razor-fanged, bloodshot-eyed, practically-unstoppable abomination unto nature. (That image in the link? That's taken from him looming over the first and soon to be dead Princess Zelda, and he utterly dwarfs her) And the demons that he leads? They all share those characteristics. All of them.
TheLostWoods. It's easy to think you're stuck in there forever if you don't know what you're doing. Ditto with the Lost Mountain.
The graveyard area, with its ghosts that appear if you touch the tombstones and its eerie color palette. Worse, a sword upgrade there requires pushing a tombstone and going into the staircase beneath it, and in the Second Quest, that's how you enter Level-6.