I've never found any song scary... Or book for that matter. Movies and video games have ore of a scare effect on me, that much I can state. But songs.... Nah their just music plus I like Heavy Metal to begin with and was into into the band Lorde at one stage.
I'm confused, how is Tokyo Teddy Bear a "scary song"? It's about a child who feels misplaced and unloved, who possibly suffers from some sort of trauma. At least that is the most common interpretation.