After going on about M.R. James (admittedly in his 150th anniversary year) it's only fair to mention other fine ghost story writers of the early 20th century. One of the leading ladies of the era was E. Nesbit, who is deservedly famous for her children's books. However, she also wrote some cracking weird tales, and dramatised versions of five of them can be heard on Radio 4 Extra next week.
The stories are 'The Violet Car', 'John Charrington's Wedding', 'Man-Size in Marble', 'The Shadow', and 'The Ebony Frame'. And a link to the Edith Nesbit Society? You're welcome.