I think one of the scariest stories is that of the Mothman!!
I don't know how close to fact that Hollywood movie with Richard Gere was about it, but it scared the wits out of me.
I've Always loved scary movies though...The Shining, anything Alfred Hitchcock, Edgar Allen Poe was a favorite author when I was younger etc. Dracula, The Mummy (the old ones). They are all fun to watch this time of year.
I know the Mothman stories aren't Halloween stories but I think this time of year is as good as time as any to bring it up.