Delicious 
oops er moving sorry 
I know it’s cheating, but I’ve enjoyed picking nice, minor-keyed waltzes and playing them in 6/8 time.
Haunting jig per me would be… The Nightingale!!
The way my fiddle teacher plays it is just so … Haunting. Lovely stuff!
Cheers,
Armand
Scatter the Mud slows down with a nice effect, albeit not so much haunting in the scary, skeletal sense as in the sense of giving one pause. And Sean McGlynn’s Jig (which I do not know whether it is by Sean McGlynn or about Sean McGlynn) has a striking elegance when slowed down to slow treble jig speed.
And I must agree with tyghress concerning Fig for Kiss. It does have a danse macabre feel to it.
“Banish Misfortune” is very haunting to me. Or any other jig with the D major to C major thing… love it. “Dan the Cobbler” is another that does it.
Click here to hear our buddy Michael Eskin playing Banish Misfortune…
Snug in a Blanket is my current haunting jig. It’s lovely, nice and relaxed, with lots of rolls. Ahh.
Yeah, everything all you guys said ! 
and…
Eileen Curran - although I think it might be a reel, not a jig from the sound of it. Oh well, I’m trying to learn it and I think it’s a great and sort of haunting tune, especially if played on an A or Bb. I heard it on one of Mary Bergin’s albums as part of a set. Maybe once I finally get it down I’ll be brave enough to post it. 
Take care,
John