Wind Waker ! At the very beginning on your island, when you need to rescue Tetra in the forest. I was so scared to enter the forest !! It took me like 3 or 4 days to dare entering it.
I played Ocarina of Time for the first time instead during those days, since I had the edition with Ocarina of Time and Master Quest on a second disc lol
Which is funny because Ocarina is scarier than Wind Waker lol, when I finally entered the forest I felt so dumb, it's a beautiful forest with just 3 ennemies lmao.
Another one was Luigi's Mansion, don't know if it counts since it's actually a parody of horror games of the time such as Resident Evil (the structure of the manor, the cutscenes when opening a door for the first time...), so when I was a kid I was legit scared, I was only playing when my dad was here !