The first meeting with Chancellor Cole is pretty unsettling even before it's revealed he was Evil All Along. After Zelda retreats to her room upon completing Link's graduation, Cole reminds Link that the ceremony is over, telling him to "go polish [his] train or something". Shortly after, he breaks into a wide Slasher Smile and mutters how the train will be useless before long, while a portion his theme song (which is pretty creepy in and of itself) chimes in.
Possessed Zelda is terrifying. It's the incongruity between the hideous red eyes and the rest of the body. Bonus points for the resembling that of another.
Special mention to the very moment where Zelda becomes possessed. She starts writhing in agony despite literally being a hollow shell prior and gets consumed in darkness. It's a very chilling scene.
Not to mention Zelda's reaction upon seeing her body being possessed.
Zelda: No! Not with my body!
The fact that the villain is going to use Zelda's body to resurrect an ancient monster. Zelda's hysterical reaction in the Tower of the Spirits says it all.
Zelda:Nooooooooooooo! The Demon King is going to run around in MY body? BLECH! That's too disgusting for words!
You'll certainly not be prepared for the sudden close-up that happens at this very moment.
Those ever-gasping mouths in the Ocean Temple. Stop staring! And the fact that you have to ram a sword down their throats is equally disturbing in a different manner. Becomes less disturbing by how they seem to inquire to be fed anything, even a sword.
This game's rendition of the Lost Woods is probably the scariest in the series. It is a series of T-junctions you have to take where one wrong move leaves you back at the start, like the Lost Woods is known for. What makes it scary is the thick fog, the fact that your train uncontrollably speeds up after every junction with its engine getting more and more frantic and the ominous music that plays during the segment. All the instruments play in a different tempo with a triangle in the background, a swung main melody and a low-pitched cello occasionally rearing its ugly head. Whatever you do, don't get this song stuck in your head when you're walking alone at night...
It's even more disturbing when paired with the description it gets in Hyrule Historia. The decapitated Malladus beast head begs Link "Please, help me" as it melts, which makes you wonder...is the cry for mercy coming from Malladus or Chancellor Cole, who was unwillingly possessed and mutated? He unquestionably deserved his fate but one can't help but feel sorry for him...
If you let the invading pirates capture Carben as you take him to the Ocean Sanctuary, you will have no way to rescue him since you haven't regained the tracks that lead to the hideout he will be imprisoned in, resulting in a Non-Standard Game Over. It is one of the least telling, yet most chilling alternate game over screens in the series because there are no immediate consequences. No one dies, nothing gets destroyed, ruin does not instantly arrive... Just what would the resulting fallout of this game-ending event be like? One can only wonder.
Dark Trains. They're giant steampunk kamikaze trains with creepy flaming faces which patrol areas of the map with the intention of ramming you and exploding. Normally, they would be classified as Demonic Spiders, but what truly drives their horror home is their theme song. You're driving along, and see one coming up behind you on your map, then, once they come within draw distance and you see how imposing they are, the lovely overworld music is replaced with a frantic, almost incoherent mess of a song. Armoured Trains are far worse; while Dark Trains have the personality of a random number generator trapped in a hockey arena, Armoured Trains actively pursue you, even going as far as to change direction and even try to sneak up on you. And there's nothing more startling than to be chasing down trains in the endgame, only to have that last one turn around and rocket down the tracks at you at five times its normal speed just as your Tear of Light wears out.
The fact that the first encounter you have with them has a huge chance of them sandwiching you? Sleep with the image of two demonic trains coming from ahead and behind, and you being as vulnerable as a princess because you took the wrong route.
Should you run out of health in the train (or crash into a Dark Train) while carrying a passenger, they will have something to say during the scene of the train exploding. One in particular stands out as the most messed up. One young passenger you can take with you will cry for their mom as the train explodes around them. Think about it. What was originally a light-hearted train journey suddenly ends in tragedy, as the young passenger spends what are probably their last moments crying and screaming for their mom. Brrr...
(which is pretty creepy in and of itself) chimes in.