Maybe it's because I was a young child when The Legend of Zelda: Majora's Mask released in 2000, but I've always remembered it as the Zelda game that came closest to being a full-fledged horror game.
Wait, no, it's definitely just because it's scary as hell. Aside from the obvious stuff like the rage-filled moon that's staring at you with bared teeth, the whole game just has this pervasive sense of strangeness that's just really uncanny and unsettling.
A few years later, Twilight Princess would inherit some of that spooky DNA, but that game is more analogous to a rebellious but good-natured teenager who hung around Hot Topic too much around 2006.
No, Majora's Mask is downright scary at times, and yet, one of its key developers, Takaya Imamura, never felt that way at all, telling Edge in issue #407 that: "Some key elements had already been decided, like the moon falling and the mask and that kind of thing.
I needed to come up with a world that they would fit into and that would fit them in turn. "In terms of the design of the mask and the moon, personally I didn't think of them as scary at all.