Midna's Theme and Song of Healing(if this this was most creepiest Zelda song...I would say Song of Unhealing or Enter the Twilight, I think it is called that...IDK)
The Song of Healing defiantly, there was only two times in the game I could think of where it had a happy ending. Pamelas Father and the poor signs you cut up.
Most Zelda songs are happy and joyful but that's when you are on a quest. Not trying to complete a game in 3 days until the Moon Falls. In other word the saddest song would be "The Final Hour"