Lest we forget, much spookiness was once heard on the wireless. It's often claimed that radio is a better medium for horror than TV because you the former engages the imagination more. I think the jury is out, but radio has the edge when it comes to atmosphere. However, radio drama has obviously been superseded by the visual media (for now), so most of the shows on this list are older than me. The latest dates from 1979.
I've heard most of 'em, and they are of course variable as to sound quality, and indeed script quality. But I particularly recommend Orson Welles in his Mercury Theatre's version of Dracula, plus Ronald Colman in The Dunwich Horror. Other classics include 'Casting the Runes', 'Carmilla', 'The Wendigo', and 'The Horla' with the great Peter Lorre. A special mention is due to 'Three Skeleton Key', a non-supernatural tale that has a simple, horrifying premise and was dramatised for radio several times.