I know it's a bit late for Halloween, but I just finished watching ゴーストハント (Ghost Hunt). I really enjoy supernatural shows, and this anime was a good one. It had a good mix of Western ghost lore applied to Eastern mythology and religion. Unfortunately, it was a short run, just one season. Other good supernatural themed shows I've enjoyed include:- X-Files - Of course.
- Supernatural - Currently running season 5 on CW.
- xxxHolic - Waiting for season 2 to come to the US.
- Vampire Princess Miyu - The original OAV, not the TV series!
