Here Comes The Flood - Peter Gabriel
Par Avion - Mike & The Mechanics
Spectral Mornings - Steve Hackett
Someone Else’s Dream - Tony Banks
We Fly So Close - Phil Collins
You hit mine right off. I’ve heard lots of haunting songs, but this is the one that comes to mind instantly every time. I’ve talked here about the first time I heard it before. A friend and I were out on an errand when it came on the radio, and neither of us had heard it before. He immediately turned it up, I pulled into a parking lot and stopped, and we just sat there listening to it, with goosebumps on our arms. Then we put off our errand to go to a music store.
Being a Brit, I’d never heard of the Edmund Fitzgerald, but, after hearing the song, learned the story and that made me really appreciate it.
I’ll also second Mr Dibble with This Mortal Coil’s Song To The Siren
I’ll put forward Barbara’s L’Aigle Noir. (It’s in French, but the link contains subtitles.)
I should also mention that R. Dean Taylor’s There’s A Ghost In My House is one of my all time favourites, but I’m not sure that’s what the OP was looking for…