By far, in my book, "The Eclipse" (McPherson 2009). One of my favorite movies full stop. Haunting plays a marginal role in it, but is very accurately true to what ghosts mean to me (and, I'd say, to people in everyday life).
TinyE mentionned "The Changeling" (Medak 1990), which I consider as the most efficiently terrifying one, but it's been too many years I've seen it and I don't always trust my past judgements on movies anymore.
I consider "The Grudge" (I don't even remember if I saw the original or the remake) fantastically scary and fantastically dumb. It's like a loosely tied series of vignettes, with barely any pretext story, but the cinematography alone makes them very efficient.
Kubrick's "Shining", duh.
I loved Young-Tak Kim's "Hello ghost" (2010), but it's more of a -sensitive- comedy.
And you'll find a handful of suggestions in that thread :
https://www.gog.com/forum/general/i_need_a_terrifying_movie/page1 Edit :
Also Amenabar's "The Others" (2001). Loved that film. I'd mention also Balaguero's "Darkness" (2002), but I am not certain it was about ghosts specifically. But very worth watching anyway, especially for the way it toys with "The Shining"...