The Skull Woods dungeon in Lorule. A Wall Master stalks Link throughout the dungeon, and although it's more annoying than anything, it's still creepy given the atmosphere and music.
The boss of the level is also creepy in its own sort way. Veterans of ALttP may be expecting Mothula again (or an Expy of him), but instead, you fight a giant Wall Master with an eye on its palm and coated in a knight's glove known as the Knucklemaster. If you look closely in the gaps between the plating, you can see some exposed muscle. In other words, it's not just a giant armored Wall Master; the armor is its skin.
The Dark Palace. Its low level of light makes it likely that you'll bump into some enemy or other hazard lurking in the shadows. The music doesn't help either.
There's a whole new layer to the dungeon's fear factor if you play it with headphones on. There's an extra layer of the BGM that's inaudible without the headphones - every time the piano plays, three booming timpanis resound. This, coupled with the loud burst of all the bombs you use for the dungeon's puzzles, creates an atmosphere creepy enough to be in a 3D Zelda. And, oh, did we mention the dungeon is home to a sacrificial cult?
The state that Lorule appears to be in. The people of the Kakariko village analogue have either turned to a life of crime or have joined a cult that believe that they're monsters. The Castle soldiers have it even worse: Instead of serving the royal family, they appear to now serve the monster that lurks in the Dark Palace. Even the very land is coming apart at the seams with all the deep chasms that cut areas off from one another.
The destined fate of Lorule itself. After generations of fighting for their own Golden Power, they decided, unlike Hyrule, to destroy it outright, without knowing that it was the basis for their very world, triggering an Apocalypse How. However, rather than instantly destroying their world, it just subjected it to a slow, inexorable rot, leaving it in the state you arrive in. And if Hilda had succeeded, Hyrule would have been subjected to the very same.
In northeastern Lorule (below Death Mountain), there is a cave under a waterfall inhabited by a docile Hinox. If you find him, he will give you 5 rupees in return for leaving him alone. You can continue asking for more rupees, with the amount he gives increasing every time. However, if you do it too much, he will get ANGRY at you for extorting him and attempt to kill you (for specifics, you can't kill him, his charge attack is much faster than a standard Hinox's, and he can do six hearts worth of damage to you). You can survive by leaving the cave, but go inside again, and he will still be angry and want you dead. Word of advice: Think twice before trying to take advantage of peaceful monsters.
Some of the rupees on the ground are not rupees at all; they are Like-Likes that have a rupee lure. The monster itself isn't the problem, as it as just as easily killable as normal Like-Likes, but the startling appearance when revealed.
The worst part is that there are only about 10 Rupee-Likes in the whole game. To make up for that, they are scattered everywhere, extremely stretched out. And some of them even hide in the Dark-World Rupee Rush minigame, and there's a whole floor fighting them in the Advanced Treacherous Tower. Not fun.
About half-way through the game, an earthquake occurs in Hyrule that produces many fissures in various walls that lead to Lorule. While you know that they are portals to Lorule and back, Sahasrahla starts to worry about their sudden appearance everywhere, including behind his own house. They can also be unnerving for those who are familiar with Junji Ito's short story, The Enigma of Amigara Fault.
The simple fact that Link has a very specific mask on the wall of his house is a rather disturbing thought. Be thankful he just used it as decoration rather than actually wearing it.
Worse, since this game takes place in a different timeline from Majora's Mask, it is entirely possible that the mask still has all of its power.
Worse, you can phase into the wall and stand just behind the mask so that it seems Link is wearing it. Thankfully, if you phase back out, he'll pass through the mask rather than put it on.
However, it's possible that it's just decoration, and it probably just serves as a hint to the then-upcoming Majora's Mask 3D.
The workers cleaning the graffiti on the castle walls. You can chat with them, but since you "don't know", you can't stop them.
Fortunately or unfortunately, those are Yuga's minions. Also, the workers note that no matter how much they scrub, the graffiti won't come off.
On the other hand after Yuga's take over and kidnappings. Hyrule guards are pasted into the walls. They are possibly aware of the whole situation as it develops, including potential impending Doom.
The overall effect of the sages disappearing without a trace is incredibly unsettling:
Pretty quickly in the game, you meet Irene, who decides to help you because a fortune teller says something bad will happen if she doesn't. So she decides to take you from place to place. After you get the Master Sword, you're at a point where it's a bit of an annoyance to walk back to the castle. So chances are, ya ring the bell to call her. Only her broom shows up, leaving only one question. What happened to her? If you pay attention to a later cutscene, you'll see she's one of the sages turned into a painting. If absolutely nothing else, knowing that you'll help her later kinda reduces this, but it's still shocking to see her not appear to your call.
Gulley, who is a cheerful kid who likes to play in the forest, disappearing is distressing on several fronts. It's Adult Fear for anyone old enough to recognize the implication, especially parents who are playing who have to watch his mother distressed. Mixed with fear that anyone who has played Link to the Past knows his hobby of playing in the forest is a Call-Back to the Flute boy, whose storyline ended with his death/turning into a tree. And depending on how you feel on him it can make you feel something of a older sibling protection instinct towards him at that point. Much like Irene, you can catch a glimpse of him as a painting in that cutscene leading into the Lorule section of the game. Reducing the feeling overall but also possibly motivating you more to stop Yuga's plans.
Three words: Hilda's Death Glare. It's not so much the action itself (though it is pretty creepy), it's more due to the sheer Mood Whiplash and how much it clashed with Hilda's character beforehand. Before, she was a stoic, if not tragic figure. But after she tells her story and demands Link's Triforce of Courage, she gives Link a glare that denotes chilling insanity. And even worse, because the scene is positioned so that it looks like you're seeing things from Link's point of view, she's not just glaring at Link, she's glaring at the screen. And more frighteningly, at you, the player.
Yuga becomes the first Zelda villain to invertHijacked by Ganon. That's right- YUGA HIJACKS GANON. Good luck sleeping tonight... though Ganon's theme in the final form of Lorule's Castle theme suggests that Ganon hijacked Yuga at the last second or is slowly taking over Yuga's already unstable mind.