Great Bay in Majora's Mask. Especially Pinnacle Rock.
I'm a bit of a weird case though. I always enjoy the creepy areas, and have always liked spooky themes (I love going out at night, naturally), so it's pretty hard for the stereotypically scary areas in Zelda games to scare me. That said, I am somewhat claustrophobic, which means I'm afraid of spaces I can't escape, and this manifests the most with underwater spaces, usually enclosed or murky, but also in deep ocean where there is, essentially, no escape. This is not aquaphobia, which is a fear of water in general. It's specifically claustrophobic.
Some other water areas (mainly the Lakebed Temple in Twilight Princess) have spooked me a little, but none more than Great Bay in Majora's Mask. And not even the dungeon. Just Great Bay. It literally freaks me out. Less so as an adult, but even still. I'm always uncomfortable in Great Bay. I don't like looking out at the ocean there, and I don't like swimming out at all, even close to the shore, because I get freaked out about the idea of not being able to get back (which is funny because I live by the actual ocean and it doesn't bother me; maybe Great Bay's atmosphere and the gameplay element are also getting me). I internally (and briefly) panic when I swim out too far and get put back, and I, naturally, find Pinnacle Rock freaking terrifying
- Out in the ocean.
- Surrounded by a wall of rocks... or the illusion of one.
- Goes under the ground, even into tunnels on the sides.
- Is darker than the rest of Great Bay (especially at night, which it was when I first did this part).
- It's filled with freaky monsters and is not safe.
Pinnacle Rock just gets me because it preys on my personal fears and anxieties. Most people don't ever agree with me.
Oddly enough this is consistent with me. It's the obscure areas I find the most disturbing. Great Bay, and the Haunted Wasteland in Ocarina of Time.
I have always found the sacred grove in Twilight Princess to be the creepiest thing ever. The giggling of the skull kid with the eerie version of Saria's Song puts a shiver down my spine.
Ya, this actually was a surprisingly haunting moment. I won't say it scares me, but I wanted to agree with you that it was eerie, like as possessing the quality of being eerie as opposed to me personally finding it eerie.