For me, Ring (the Japanese original, not the glossed-up Hollywood remake) is the scariest ghost story to come round in a long, long time, in any medium. And I think that's largely because, until the very end at least, it followed the philosophy that what you don't see is far, far scarier than what you do. It's why, though an excellent book, The Picture of Dorian Gray has always been a flawed prospect as a film - no filmmaker could possibly create a portrait for horrifying, more hideous than the one we create in our heads. Same applies to ghouls that go bump in the night. In horror, I think this old adage applies to the ghost story more than any other sub-genre.
But the unseen terror is very tricky to pull off in a medium as dominantly visual as comics. Though not strictly a ghost story, Sub-Mariner: The Depths handled the concept of building fear through what you don't see VERY well.