I think most of us would agree with that sentiment, expressed in this interesting Paris Review item. It lists five seasonal ghost stories that are not well-known outside the realm of the true enthusiast. Of them I think Burrage's 'Smee' is probably the best. (It has nothing to do with Peter Pan.) Blackwood's 'The Kit-Bag' is another excellent specimen, a tad predictable but that's not a bad thing if you're trying to hold an audience with an actual reading. Best title, I think, goes to Benson for 'Between the Lights', which is very evocative. Anyway, I'm sure you have your own Yuletide favourites.
Having experienced both sides of Christmas, there is but one constant I am aware of that serves you well both in the merriest of times and in the darkest: the classic English Christmas ghost story. You’d think Halloween would be the holiday that elicits the best macabre stories, but you’re going to want to check that opinion and get more on the Snow Miser side of the equation. Time was the English loved to scare you out of your mind come December, but in a fun way that resulted in stories well afield of your typical ghost story outing.