He's scared of dead things, even though he really shouldn't be because he's a skeleton, but ultimately aren't we all at the end? He goes through his journey curious, but unnerved by mysteries that await him, he never appears to really know what's going on even as he enters the underworld, but it doesn't matter because he'll be just another thing in the dirt.
And also just creepiness for creepy sakes. CLOWNS.