The unknown is a big factor. In many of these stories, like the Bell Witch, no one really knows what the entity is or why it's causing harm. It's that mystery that makes it terrifying. For example, the strange noises and unexplained physical attacks in the Bell Witch story leave people on edge because there's no rational explanation.
The visual and auditory elements play a crucial role. In the story of the Brown Lady of Raynham Hall, the photograph that seems to show an apparition gives a sense of 'proof' to the story. When people hear about doors slamming on their own in the Amityville Horror or see the spectral ship in the Flying Dutchman story, it engages their senses and makes the story more vivid and thus scarier. The idea of something being out of place in a familiar setting, like a normal house or the open sea, is also very disturbing.