"Heart-Shaped Box" is a ghost story about an aging rock star who buys a ghost in an online auction. The ghost turns out to be much more real, and *much* more evil, than expected... I agree with Time Magazine's assessment that it's "suitably vicious & cathartic."
Mike Carey's The Devil You Know is also compelling fiction, featuring a London exorcist facing evil antagonists both living and dead.
What ghost story would you suggest?