I dunno why, but I haven't really found a game to top this in weird-ass creepiness.  That mask is chilling.

The mask salesman is a pedophile.

Yeah, it pretty much has no problem showing you how screwed the world is, and still keeps an E rating among its surreal imagery and sequences. 
 
It's definetely dark, but compared to other titles in the series, its got great character emphasis. Everyone is suffering in some way because of Majora's Mask, and you can help them, however little it may be, to cheer them up. I find it fun to replay some character missions, as there are quite a few good ones. One of them spans the entire 3 days and the payoff is heartwarming.

The Legend of Zelda: OoT was also pretty fucked up at spots.  Example: 

My first experiences were "Wait, that moon is bigger than it was before!" Thought I was losing it!
 
There are some great masks in that game. I have trouble remembering why it wasn't critically well received like the other Zelda's. In retrospect, it has a lot in common with Super Mario Galaxy 2. Sequels that are in the same universe and have the same controls, but completely ignore the first game's story in some way.
 
Also, you could ride that turtle! Weeee....

This game freaked the hell out of me when I was little. Now...I just think the mask salesman is gonna rape me.

The game in general didn't really creep me out, though there were a few spots like Gibdo. The dungeon under  Kakariko Village and the ruined Hyrule Castle Town (complete with ReDeads) in Ocarina of Time were more unsettling for me. 

I still stand by my claim that Majora's Mask was a more interesting game than Ocarina of Time. Sure, OoT was a lot more focused and you didn't have to deal with the bizarre time system, but the story took the Zelda series in a different direction, unlike the typical 'save the princess' plot.
 
  

I have trouble remembering why it wasn't critically well received like the other Zelda's. In retrospect, it has a lot in common with Super Mario Galaxy 2. Sequels that are in the same universe and have the same controls, but completely ignore the first game's story in some way.  Also, you could ride that turtle! Weeee.... "

MM is probably my third favorite Zelda game. It offered immense replayability, and a whole lot of fun. Also, that game throws dark, dawg. 
 
Then again, Wind Waker is my second favorite, so what do I know?