Oh, Whistle, and I'll Come to You, My Lad
by M. R. James
The premise is a little bit spooky, if a little overdone: some hapless chump comes across an ancient artefact and accidentally uses it to invoke a spirit that haunts him. The conceit of the ancient artefact being a whistle is kind of fun, and I liked how it's described as putting images in your head.
Spoilers from here on out.
The payoff at the end, however, is a bit of a disappointment. Parkins, the protagonist, suffers a long, sleepless, and nightmarish evening directly after blowing the whistle, haunted by visions of being chased by a white ghoul. Being an avowed anti-spiritualist, he obstinately refuses to connect the dots, and berates his golfing partner for suggesting there might be an otherworldly component to his haunting. The next night, Parkins is visited by the ghost, which wraps itself up in bedclothes and sorta shuffles around the room, nearly forcing Parkins out the window, before the golfing partner's unlikely intercession causes the phantom to flee. The whistle that summoned the ghost in the first place is promptly chucked into the sea, and everything goes back to normal:
"Exactly what explanation was patched up for the staff and visitors at the hotel I must confess I do not recollect. The Professor [Parkins] was somehow cleared of the ready suspicion of delirium tremens, and the hotel of the reputation of a troubled house."
The story ends with the claim that the ghost was actually not that dangerous at all, and was probably a Catholic, anyway:
"... it is not so evident what more the creature that came in answer to the whistle could have done than frighten. There seemed to be absolutely nothing material about it save the bedclothes of which it had made itself a body. The Colonet, who remembered a not very dissimilar occurrence in India, was of opinion that if Parkins had closed with it it could really have done very little, and that its one power was that of frightening. The whole thing, he said, served to confirm his opinion of the Church of Rome."