Maybe it's the sudden appearance of the ghost in the story. Just imagine, in the dark night, a shadowy figure suddenly emerges from nowhere, that would be really terrifying.
She may include some unexpected twists in the story. Just when you think the hero has defeated the ghost, something else might happen, like the ghost coming back in a different form. This keeps the listeners on the edge of their seats and makes the story really interesting. Also, she might share some of her own personal experiences or beliefs related to ghosts, which adds a touch of authenticity to the story.
Of course, the ghost itself is a character. It could be a former inhabitant of the place, like a long - dead nobleman or a servant who met a tragic end. And there could be other secondary characters like the protagonist's friends who either believe or don't believe in the existence of the ghost and their reactions add to the story's drama.
I'm not entirely sure which specific ghost story Chie tells in that instance. There are so many interesting stories in Persona 4 Golden that it's hard to recall this one off the top of my head.
Well, often there could be a spooky old house. Maybe a strange noise that comes at midnight, like creaking floors. And there might be a shadowy figure that lurks in the dark corners.