I get really creeped out by the guy in Kakariko who sits under the tree at night. I think he's the mayor's son or something.
I don't really know why he creeps me out, though.
Dead hand really scared me in OoT
But now talking about characters, I think the creepiest was the Happy salesman because he seemed more mysteriously evil and intriguing...that made him the creepiest for me :S
Bongo-Bongo.....he's a giant, beheaded, cut-off-hands, gray dead body floating playing a bongo. That's pretty creepy my 7-year-old mind to handle back then. But, today he's no sweat for me. He's actually pretty easy to fight.
Though I've never been scared of any Zelda character, the creepiest would probably be Tingle. The reason being is because...
1. Grown man wearing...whatever that is.
2. In The Wind Waker, you find him in jail.
3. Also, in the wind waker, he forces his brothers to work on Tingle island.
If monsters are allowed, ReDead. However, if we only count "characters", I'd go with the little girl that appears in the Lost Woods during the OoT Biggoron sequence.
"Everybody becomes a Stalfos. Stalfos. Everybody." Creepy.
all the ones i thought have already been said but definatly the dead hand that thing scared the crap out of me i hated the shadow temple very scary at first