The first thing would be the moon. COME ON! IT'S STARING AT YOU ALL THE TIME WITH A FACE THAT SCREAMS EVIL! You can not only feel it getting closer in the back of your mind, knowing that it is slowly making its way towards you, but if you look up, you can see it getting closer each day. The other creepy thing is the time limit. Arrgh. It makes me want to go and hide, but then go back out and play it because if I don;t everyone will die! It's such a strange feeling knowing that everyone you talk to will die as an inevitability. Not like in other games where you know some will die but you can't control it, these people will die if you don;t succeed. And that's the final thing. Death. Every mask you wear not only takes away your hero of time prowess (which is scary enough) it contains the soul of a dead species. These are just some of the reasons why Majora's Mask is scary.
And that music. Oh god that wonderful music: