I can't remember either perfectly, it's been so long since I've played either game, but I'm inclined to think that the Bottom of the Well is the creepier of the two. I actually thought it was quite a bit scarier than the Shadow Temple in many aspect, to be honest, or in the very least I remember seeing more blood, and I don't know that there was any blood at all in the Empty Well. Perhaps I'm just being over-sensitive to blood, though. I might also be inclined to choose the Bottom of the Well as the creepier of the two because it stood out more as being creepy. It was different from the rest of the game, whereas Majora's Mask had a creepy vibe throughout, so it comes as no surprise that the Empty Well would be creepy. Perhaps that makes it less creepy, though, since Majora's Mask more or less numbs you to the fright factor, whereas Ocarina of Time is much lighter and more triumphant, then they suddenly throw the Bottom of the Well at you.