In an article in the (London) Times, Susan Hill ("The Woman in Black") gives tips on writing ghost stories. Here are some of her key points:
* the story should have a ghost (obvious, but she's pointing out that it's not monsters, werewolves, vampires, etc. we are dealing with, but "the remaining spirit of a person who has existed in this life but who is known to have died")
* the ghost has to have a purpose or goal, for example to deliver a warning or to get revenge
* the story has to has atmosphere - the weather and setting (often an old mansion, of course) help
She says good modern ghost stories are hard to find--maybe a good challenge for you if you're wondering what to write next?