My favorite ghost story from Japan is Houichi the Earless (Miminashi Houichi) http://en.wikipedia.org/wiki/Hoichi_the_Earless told to me while still a child by my parents' housekeeper at the time, extemporaneously, in Japanese, during her lunch break; a lifelong theater enthusiast who had grown up participating in a community youth theater, she was an excellent story teller who could bring tears to my eyes as well as fear and fascination. It had been adapted to film in 1964 along with other stories to comprise an anthology of four Japanese ghost stories http://en.wikipedia.org/wiki/Kwaidan_%28film%29 which I had the pleasure of discovering about six years ago at a movie palace on a big screen.
A favorite ghost story from America is the Headless Horseman (or The Legend of Sleepy Hollow, most likely read aloud in English to my fourth-grade class by the wonderful school librarian.) http://en.wikipedia.org/wiki/Headless_Horseman_%28Legend_of_Sleepy_Hollo...
A cinematic Hollywood ghost story I like would probably be The Ghost and Mrs. Muir starring Gene Tierney and Rex Harrison directed by Joseph L. Makiewicz. http://en.wikipedia.org/wiki/The_Ghost_and_Mrs._Muir
What then...would be my favorite European ghost story? Ovid's Greek myth Orpheus and Eurydice, Shakespeare's tragedy Hamlet, the nautical folklore of the ghost ship Flying Dutchman, and Dickens's Ghost of Christmas Past, Present and Future come to mind, but I also hear the voice of Jacques Derrida http://en.wikipedia.org/wiki/Jacques_Derrida in Ghost Dance http://en.wikipedia.org/wiki/Ghost_Dance_%28film%29 saying, "Le fantôme, c'est moi." "I am after all a mere ghost." http://www.youtube.com/watch?v=0nmu3uwqzbI
Vivent les fantômes!
P.S. Here's what I wrote for Halloween last year. http://redroom.com/member/kim-packard/blog/halloween