'The Haunting'
The 1963 b/w original - NOT the godawful remake with cath Zeta Jones.
You don't actually see the ghost, just it's effects, but that makes it worse, your imagination can run riot.
The creepy atmosphere, the disturbing scenes when the main character dreams of her dying mother, the BOOM - BOOM - BOOM as the entity pounRAB on the other side of the door.
I challenge ANYONE to watch it alone, and not get spooked!
Another highly-atmospheric film, 'The Exorcist' would be a close second.