Not in a conventional sense, no. There are no skeletons, no ghosts, and no people jumping out at you or chasing you, and there are only a few times when you're in physical peril.
All the same, in some ways this game is more chilling than most of the Nancy Drew games. The plot Nancy is trying to stop is a pretty awful one, and nothing she does seems to stop it, and the bad guys always seem to know what she's doing before she does it. It's also rather disturbing to find that everyone she talks to is either outright lying to her or might be, including people she's always trusted. Most of this is pretty subtle and will probably go right over the heads of younger players, though.