Visit veteran Latin teacher Rose William's site for a free downloadable handout entitled "Holidays for Latin Class." Included are ideas for Halloween, Thanksgiving, Christmas and Valentine's Day! Included is a story "Pliny's Haunted House" for intermediate Latin students.
Project Gutenberg has a downloadable version of the Library of the World's Best Mystery and Detective Stories, which includes an English language version of the aforementioned haunted house story. There's another translation at Bartleby, which was originally published in the Harvard Classics series.
VRoma has an excerpt from the original Latin text along with an English version available.
The Kentucky Educational Television Latin Course site has a version of the story with interactive vocabulary hints for readers.
If you'd prefer that your students would write their own scary stories, KET also has a lesson plan with lots of scary Latin vocabulary words!