I kind of collect ghost stories - mainly Victorian and Edwardian ones. M. R. James is one of my absolute favourites. Sir Arthur Conan Doyle also has a couple of very good ghost stories. And then there's Joseph Sheridan Le Fanu, of course.
For modern writers, Susan Hill has written some excellent ghost stories. The most famous, I suppose, is "The Woman in Black", which has been made into a movie recently (which I have not gone to see, because the book's ending freaked me out enough...). And there are also "The Mist in the Mirror", "The Man in the Picture" and "The Small Hand". A new one ("Dolly") has just been released, but I haven't read it yet.