it's true it's psycological, but in this instance, which is the first "creepy reverse song" i stumbled across, there is historical evidence.
Jimmy Page bought Aleister Crowley's house in Scotland, which had become a well known Satanic church and was known as "The Toolhouse," (of which is mentioned the the reverse playback). In his books, Crowley advocated that his followers learn to read and speak backwards.
I'm not so sure about the latter, but if there truly were satanic messages, i doubt they were "purposely" placed there. If anything it's completely subconcious thought that led to this. Nonetheless, it's creepy. And yes, it does work perfectly if you take enough time to reverse in and audio editing program. CREEEPY.