This one isn't about a movie, just the physical act of doing a ghost walk.
Whenever I visit a new town, for the most part, I check to see if they have any ghost tours. Not only is it a decent way to learn some scary stories, you can get a sense of the history of the town, also. On the last ghost walk I took around my hometown, I learned at 90% of haunted buildings are former brothels or speakeasys.
I took a Jack the Ripper tour in London and got to see one of the murder sites. That feeling of being in a place where such evil happened, it is kind of fascinating and nauseating at the same time.
Charleston, SC, has some of the best ghost stories. My favorite is usually told outside the old jail house. Lavinia Fisher was the owner of a five mile house outside of Charleston where travelers could rest for the night before making it into town. One night, a fur trader got a strange feeling from Lavinia and her husband so he laid his jacket on the bed he rented and sat in a chair where he could see his cart loaded with furs in case anyone tried to steal it. In the middle of the night, the bed made a horrid noise and collapsed into a pit underneath the room. This was the trap Lavinia and her husband set for travelers. They would kill them in the pit and steal their wares. The fur trader saw what was up and jumped out the window, got on his horse and rode into town. That day, authorities caught and arrested Lavinia and her husband. They were sentenced to death. Lavinia had her wedding dress brought and donned it, hoping her staggering beauty would create some mercy. There was none to be found. On the day of her hanging her last words were "If any of you have a message to give the devil, give it quick. I'm about to meet him." They say she can still be seen wandering the old jail wearing her white wedding dress, looking for mercy.
Another one I would recommend, if you ever get the chance, is in Edinburgh, Scotland. There is a tour about the closes and underground passages all through the city that goes to some chilling places.
Any ghost tours you would recommend?