Ah, the music that scared us when we were kids is another story!
When I was 11 a friend of mine at school told me his big brother had a record that made the guitar sound like it was talking. Did I want to hear it? Definitely. It was "Voodoo Chile" by Jimi Hendrix and it scared the living daylights out of me. I've heard it maybe a thousand times since and, while it doesn't scare me anymore, it still makes me stop whatever I'm doing and pay attention.
Got it! The spookiest recording ever has to be that Burundi whispered song on the Ocora release "Burundi: Musiques Traditionnelles". First time I heard it I was driving through snow-covered mountains in Northern Japan in the middle of the night, in the middle of nowhere. Just the moon glistening off the icey road and that man growling and whispering on the stereo. It was incredibly powerful - if far, far removed from its original context.
Later I played it to some students and asked them where they imagined it was being played - exorcisms and dangerous underground yakuza bars were suggested!