I like radio shows. It's been said many times, but the best medium for suspense is audio. I'm currently enjoying the sci-fi mystery/horror series Limetown, which has a Stephen King meets Nigel Kneale vibe. And talking of Kneale, I'm looking forward to the BBC's Sunday night reboot of The Stone Tape as a radio drama.
There used to be a lot of more ghost stories and weird tales on the wireless, especially in the form of American shows produced by big networks. You can find a list that provides a good sample here. And, ahem, I have uploaded a few examples to ST's YouTube channel. (Yes, there is one.) The same channel has links to lots of radio and some TV dramas. Here is a little sampler.