It is probably the National Guard or Army Reserve training.
They could also be flying patients to a hospital, or maybe an emergency blood transfer for a surgical operation.
More then likely, its just pilot training and flight hours, especially since it was the weekend which is when the Guard and Reserve train.
Also, what is so scary about it? They just fly around, maybe practice taking off or landing or are flying someone to a conference to get some flight time hours in. Why is it any more scarry then a police helicopter?