Silent Realms in SS really, really creep me out. So much that I've actually only completed the first one so far... playing through it once is fine, but having to repeat the process several more times in order to progress, not looking forward to that.
Wallmasters getting the drop on me also make me jump a bit, but the worst is definitely the SS Silent Realms (the TP Twilight were just eerie, but still fun - the SS Silent Realms - not so fun...)
The seahats in tWW freaked me out for some reason. You feel kind of weak in that boat, and I remember sailing and looking behind me and there were like ten of them chasing me! After that I got better at killing them and they don't bother me.
Zelda is not scary enough to really give me the creeps, I mean the reDeads and all that are a little spooky, but nothing like the first Resident Evil or Silent Hill when they came out.
When I was a kid the Bottom of the Well in OoT freaked me out in so many ways. Mainly the theme and general surroundings. Blood, skeletons, creepy enemies and fake walls and holes. Most of all though was that giant Bubble, the flaming skull enemy, that made it's rounds around the main water way. It used to creep me out so much. I would be walking along to another area in the dungeon, sitting on the edge of my seat, waiting for the giant skull to come around the corner coming straight for me. Gave me a heart attack every time. You could even hear it make noises off in the distance. *shudders*
Wallmaster in OoT and MM always had me on the edge as well, just waiting to drop down and grab you. As said above, seahats were pretty creepy in WW as well.