Ocarina of Time: Redeads
Majora's Mask: Pamela's father coming out of the closet, Gidbos, Redeads, putting on the Zora mask.
Wind Waker: Redeads, Phantom Ganon
Phantom Hourglass: Pol's Voice
Twilight Princess: cutscene with Ilia spinning slowly upside down, Dark Interlopers, Redead knights, Yeta turning into Blizzeta
Spirit Tracks: seeing Chancellor Cole with his horns the first time, Demon train
Those are all my major moments when I got scared and freaked out and had nightmares where I saw myself being sliced into pieces and Rhodes monsters where eating me. I still have them, usually after I hear the voice of a young girl's laughter slowly fading away.