No, but it can be sometimes when you turn around and you come face to face with a creeper. Overall, it's not scary though.
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It means there is a cave nearby or a open terrain...
As of the current date of this answer, the next version is Minecraft 1,4, the Pretty Scary Update, which will be released on or around October 31st, which is Halloween.
It depends on what mod you are using, it could use 'scary' noises. Normally the sounds play when you are near large underground caves.
PewDiePie does play Minecraft, however it is an extremely rare occurrence. His latest Minecraft video, as of the date when this question was answered, is a video called "MINECRAFT IS SCARY?" uploaded on June 18th 2015. However, don't get used to seeing him play this game as his second most recent Minecraft from what I could find is called, "Minecraft Multiplayer Fun", uploaded on October 2nd 2010.
Set the difficulty to peaceful so you don't see anything scary. in the game, Press escape, click options then change difficulty to peaceful.