The Forest Temple is terrifying. Have you listened to the music? There is a voice that sounds like some guy is being beat or something. It's a very ominous atmosphere. It's dark, foggy, and filled with ghosts.
Redead are so freaky. They have tons of health, too! The loud scream is just demoralizing (and literally paralyzing).
Of course no one is suggesting that Zelda rivals actual horror games, but if other fans are any bit like me, we don't play those hardcore scary games because we're sissies, and even Zelda can be scary... That's just me. XD