As I said in my first pre-party post, I'm not much of a horror reader, and the ghost stories I like almost all either feature a ghost who is the author's messenger for some larger point, or they're chiefly characters who have had such an impact on another character's life, or on a given place, that their "ghostly" presence is in effect like a lasting shadow of their living presence. Or, of course, we're really just talking fairy tale -- or satire / parody.
It goes without saying that this definition includes Dickens's A Christmas Carol, The Chimes and The Signalman; as well as the likes of:
* Aladdin from 1001 Nights (the genie is at least a kind of ghost, right?)
* A.S. Byatt: The Djinn in the Nightingale's Eye
* Wilkie Collins: Mrs. Zant and the Ghost
* Henry James: The Turn of the Screw
* Naguib Mahfouz: Voices from the Other World: Ancient Egyptian Tales
* Toni Morrison: Beloved
* Terry Pratchett: Wyrd Sisters
* Otfried Preußler: The Little Ghost (a wonderful children's story about not fearing "the other")
* Anne Rice: Violin (the last book by her that I read before she turned BBA)
* Theodor Storm: Der Schimmelreiter (The Dykemaster)
* The ghost stories of Edith Wharton (wonderfully atmospheric)
... and of course ...
* Oscar Wilde: The Canterville Ghost