Pretty much as scary as Minecraft, at least so far. The lovecraftian elements are mostly through in game lore (There's books and scrolls with lore scattered around) and the mechanics on how the monsters work (Temporal Distortion and Temporal Storms). The monsters themselves aren't too different from what you might find in Minecraft, made more scary mostly because this game is more punishing.
Also there's no creepers. Monsters are mostly "zombies" and "spiders".