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What songs do you know that contain an actual ghost story? Stan Ridgway's "Camouflage" is a song in the classic ghost story form about a dead marine who wants to come back just once and save a rookie grunt in a fire fight. There are also plenty of great old ballads that have narratives about ghosts, the best being "The Unquiet Grave" (Child #78).
I am working for an article for an upcoming issue and one of the side bars will be Top Ten Ghost Story-Songs. I have seen a few lists online but they usually stink because people don't make any distinction between actual ghost stories and the metaphoric use of ghosts or spirits as in "Spirit in the Sky" or Sting's "Ghost Story," which is neither. Or people list things like "Thriller" by Rod Temperton which mentions a lot of creatures, including ghosts, but never really tells a ghost story.
So here are my favorite narrative songs about ghosts, so far:
Camouflage by Stan Ridgway
Roland The Headless Thompson Gunner by Warren Zevon and David Lindell
Phantom 309 by Tommy Faile (Recorded by Red Sovine)
Ghost Riders in the Sky by Stan Jones
I Dreamed I Saw Joe Hill Last Night by Alfred Hayes and Earl Robinson
Long Black Veil by Danny Dill and Marijohn Wilkin (ghost implied since he is the speaker) Mr. Ghost Goes To Town by Will Hudson, Irving Mills and Mitchell Parish