I love ghost stories, and one of the nice things about WoW is that Azeroth is full of them. Perhaps it would be more accurate to say that one of the nice things for us is that Azeroth's full of them, because lore-wise it's hard to argue that the existence of any ghost is a happy occurrence. While I could (and probably should) turn this into a giant feature cataloging all the ghosts in the game, I have my personal favorites:
The inhabitants of Caer Darrow are my favorite ghosts, not least because you can't see them at all until you've done a bit of work on their behalf. The island seems utterly deserted barring the Sarkhoff couple...until you realize that it's not, and that there's an entire town full of people trapped on its "happiest day," going about its business, oblivious to how the world's moved on. That there's a ghostly vendor you can't otherwise talk to without a Spectral Essence is even better.