I thought you meant Nintendo as a company, I'm disappointed. So, in their games? Umm...
Yeah, Bottom of the Well in Ocarina of Time was pretty intense. I've always been a little scared of ReDeads in Zelda but that place was seriously the worst... well, at least until Majora's Mask came out. The Ikana region was horrifying, particularly when you go inside that house with the happy music and find, well, that... thing.
Other than that, I don't know. I've been a little creeped out by some of the spooky places in Pokémon (definitely couldn't handle Lavender music as a kid, I was terrified there and always made sure to ride the bicycle so the music wouldn't change), and I remember being quite disturbed by this Splatoon easter egg. And then, there's Metroid Fusion with the SA-X.
There might be other particularly scary moments I'm forgetting about, but in general I don't think Nintendo is the best at that - however, I do have much more notable memories involving tense and heavy atmospheres in some of their games, particularly the Metroid games. I remember being extremely nervous when I first got to the ending of both Super Metroid and Metroid Prime, because I was so soaked in the atmosphere that I was genuinely afraid of the dangerous stuff I was about to encounter (it didn't help that I never learned how to defeat Metroids on my first playthroughs).