It occurs to me that, for someone who listens to a lot of audiobooks and dramas, I seldom review any here. So let me remedy that situation by mentioning a few of my favourite audio productions.
Let's begin with Naxos Audiobooks, a firm that's long specialised in extremely good readings with classic music soundtracks. Naxos deals in the classics, by and large, and anyone who's into Dickens should seek out their recordings of the wonderful Anton Lesser. The firm offers downloads in its online shop, but its CD releases are well worth having, not least because they usually contain extensive notes on the text in an accompanying booklet.
In the realms of supernatural horror Naxos offers a handful of ghost story collections, including M.R. James' Ghost Stories of an Antiquary. Read by David Timson and Stephen Critchlow, this 4 CD pack offers are first-rate readings. You can listen to an audio sample here. For devotees of the Great Old Ones, most of Lovecraft's stories are available from Naxos. Again the quality of the reader, William Roberts, plus incidental music makes for a very satisfying listen. For more restrained thrills (sort of) they offer Le Fanu's In a Glass Darkly.
Naxos has also released several multi-author collections - these include Classic Ghost Stories, The Moonlit Road, and Great Ghost Stories. There's also a collection of new stories, The Clumsy Ghost & Other Spooky Tales, specially written for Naxos.
Since I've mentioned Lovecraft, I can hardly omit the pleasures of the HPL Historical Society's audio dramas. You can see what's on offer here, at their Dark Adventure Radio Theatre page. I have had the pleasure of listening to their productions, and can testify that they are usually great fun. The weaker efforts falter simply because the original material is flawed (as in 'The Horror at Red Hook') but at its best DART offers bonkers delights, as in 'Herbert West - Reanimator!', 'The Call of Cthulhu', 'The Cast of Charles Dexter Ward', 'The Shadow Over Innsmouth', and 'At the Mountains of Madness'. The fun is enhanced by the retro stylings that include tongue-in-cheek radio commercials (who'd have thought cigarettes would be so good for the lungs?), and breathless announcers promising more shivers to come.
Audible, an Amazon subsidiary, has made big inroads into the audio market, and it offers a wide range of spooky material, not least because it sells material by other producers, including Naxos and the BBC. Here you'll find a lot of material by modern horror writers, but also quite a few classics. I recently enjoyed 'Mrs Zant & the Ghost' by Wilkie Collins, read by Gillian Anderson. What's more, I got it for nothing, because Audible offers regular freebies to subscribers. It also does some heavy discounting - I recently purchased about twenty hours of Lovecraft for less than a tenner.
I mentioned the BBC, and there are of course a lot of good things to be had from the corporation. Some are straight radio productions, others are readings specially produced for CD/download release. Derek Jacobi's excellent readings of M.R. James' stories are highly recommended (by me), as I think Jacobi's voice perfectly captures the combination of wit, intelligence, and dark insight that one associated with James. And, yes, they are on Audible.
There is of course a fair amount of free material out there, and much of exists because of shaky copyright enforcement online. However, if the material is out of copyright there's no ethical dilemma in listening to, say, a Librivox recording. These latter vary widely in quality as they rely on volunteers, but some of their efforts are pretty good. You really have to take pot luck, and there's no shortage of obscure stuff for those with the time and inclination to seek it out.
Well, that's a quick look at some of the audio on offer. I'll round off by mentioning BBC Radio 4 Extra, a digital channel dedicated to repeating drama, comedy, and documentaries. Its drama output often includes horror/weird fiction. Here, for instance, is a Robert Westall story dramatised, starring John Duttine. It's pretty good, and like all R4x programmes you can listen at your convenience on the BBC iPlayer.