This week there was a rare showing of Jonathan Miller's adaptation, the film that started the former Christmas Eve ghost story tradition on British television, of MR James' Oh, whistle and I'll come to you, my lad (part 1 (also above)/ part 2 / part 3). As the BFI Screenline commentary says, MR James purists didn't like some aspects, but it does bring a nice ambiguity by portraying the protagonist as evidentally mentally fragile.
Here's the original story - James has a pleasantly wry turn of phrase
The Colonel, who remembered a not very dissimilar occurrence in India, was of opinion that if Parkins had closed with it it could really have done very little, and that its one power was that of frightening. The whole thing, he said, served to confirm his opinion of the Church of Rome.
- and Project Gutenberg has the anthology from which it comes, Ghost Stories of Antiquary (part 1 / part 2). The title, incidentally, is borrowed from that of a Robert Burns poem.