The Legend of Zelda has always existed in weird half-kiddy, half-adult state. The cutesy style of Wind Waker ends with a sword through Ganondorf's face; the innocent Princess Ruto gets swallowed by a giant, bile-filled fish. And Majora's Mask is darker than a Tim Burton fan's diary. In fact, Link might actually be dead during the whole thing.
There are too many examples to fit into this paragraph, so I'm going to focus on the biggest two. First, let's check out the Elegy of Emptiness. It's an ocarina song that lets you make a statue copy of yourself--quite handy for puzzles. But it only makes copies of characters that have died. By wearing the Deku, Goron, and Zora masks, you can make copies of the Deku Butler's son, Darmani, and Mikau, respectively. If you don't recognize those names, know this: those characters are definitely dead. But when you play the Elegy of Emptiness without a mask, you still make a copy--of Link. Second, when you meet the Happy Mask Salesman, his first words are "you've met with a terrible fate, haven't you?" The only other time he says this? When time expires, and the moon destroys Termina. Poor, poor (totally dead) Link.