I'm using a special Halloween rating system here: 1-5 pumpkins, with 1 being totally not scary (e.g. the Andy Williams Christmas album) and 5 being "what the bejeezus is going on?" (e.g anything by Univers Zero).
Mayday Parade: 2 pumpkins. A great pop song with fine guitar and piano, but it's too bouncy to merit the zombie imagery in the video (notice how happy the undead are). If you're feeling down, just put on this song.
Bruce Springsteen: 4 pumpkins. Losing someone doesn't necessarily mean being scared, but Bruce depicts the experience of being bereft as well as anyone could without being morbid (and on the rest of the album as well).
Ghosts aren't necessarily scary, but they do remind us of the permanence of loss and the impermanence of life.