A great short ghost story is 'The Monkey's Paw'. A family comes into possession of a mummified monkey's paw that has the power to grant three wishes. But each wish comes with a terrifying and unforeseen consequence. It shows how meddling with the unknown can bring about dark and spooky results.
There's also 'Oh, Whistle, and I'll Come to You, My Lad' by M. R. James. A professor finds an old whistle while on holiday. When he blows it, he is haunted by a strange, ghostly figure that seems to be drawn to the sound. The story builds a great sense of unease and mystery as the professor tries to deal with this spectral presence.
One of the best short ghost stories is 'The Tell - Tale Heart' by Edgar Allan Poe. In this story, the narrator is haunted by the vulture - like eye of an old man. His obsession drives him to commit a heinous crime, and then he is consumed by the sound of the old man's still - beating heart, which he imagines he can hear even after the man is dead. It's a chilling exploration of guilt and madness.