Phantom Rickshaw and Other Ghost Stories by Rudyard Kipling

The stories are powerful, but Kipling always manages to punch holes in the ghost story before the story ends. His sister was a trance medium who was once involved in a complex three-cornered correspondence--that means that three different mediums, who theoretically do not know one another and have no interaction, each receive part of the message, which must then be assembled by the researchers. He wanted to believe in survival after death, especially after the death of his favorite daughter followed years later by the World War I death of his only son, eighteen years old and as blind as Kipling without his glasses.

But when he wrote this book, these tragedies had not yet occurred, and most of the stories end happily. Some, though, do not. Go and read the book. You'll be glad you did.