Others have already given a few great titles like The Orphanage and The Devil's Backbone; in my other post I talked about The Changeling which is truly creepy.
Here's a list of ghost story movies I've seen that haven't been mentioned yet; some are good, some are just okay but you may like them:
Dark Water (2005)
White Noise
1408 (I really like this one; John Cusack gives one hell of a performance in this)
Shutter (2008)
Drag Me to Hell (Sam Raimi can do no wrong in the horror genre)
The Haunting in Connecticut (based on a supposedly true story that doesn't have much in common with the movie itself)
The Woman in Black (2012) (this one I really liked too)
Saint Ange (2004) (a little French thing that's not too bad)
The Entity (1981) (another one "based on a true story"; it's quite good)
What Lies Beneath (2000) (I've always had a soft spot for this one; even more so now that I know that the script was written by Agent Coulson (Clark Gregg) himself )
And as was said earlier: Session 9 is a must see.