Anything by H.P. Lovecraft. By modern standards the plots are not scary, but his writing style is dark and the pictures painted are pretty interesting. Sets a great mood for Hallow's Eve.

I know some bookstores (Third Place, for one) will often group children's holiday books together as the holiday approaches. Definitely ask someone to direct you to a display if one exists. It's also a good time to look, because lot of stores won't even stock holiday books year-round..they go back in the vault to wait until next year.

For adults:
Something Wicked This Way Comes, by Ray Bradbury.
The Tell-Tale Heart, by Edgar Allen Poe (and most Poe in general, actually).
Coraline, by Neil Gaiman.
Dracula, by Bram Stoker.

For kids:
The Little Old Lady Who Was Not Afraid of Anything
The Widow's Broom, by Chris Van Allsburg.
Harriet and the Haunted School, by Martin Waddell.
Georgie, by Robert Bright (a classic).
Los Gatos Black on Halloween, by Marisa Montes.
Scary Stories to Tell in the Dark, by Alvin Schwartz (a classic).
The Graveyard Book, by Neil Gaiman.
Too Many Pumpkins, by Linda White.

Also, while not explicitly on Halloween, A Series of Unfortunate Events is great sinister fun, as are the John Bellairs books (start with The House With a Clock in its Walls.

I always liked Georgie by Robert Bright for Halloween.

I have always loved the small (~5 x 6 inches) macabre alphabet book by Edward Gorey,
The Gashlycrumb Tinies.

Each page continues a running rhyme with each letter of the alphabet being the initial letter of a child's name and how they met their demise, all accompanied by the quirky line drawings of the incomparable Gorey.

A is for Amy who fell down the stairs.
B is for Basil assaulted by bears
C is for Clara who wasted away
D is for Desmond thrown out of a sleigh...

When you find yourself laughing at the drawings and sayings you may feel just a little bit guilty, hee hee.

Rather late, I know, but for kids I would recommend The Egypt Game, by Zilpha Keatley Snyder- it is not explicitly set around Halloween, but the kids spend most of the book in costume and it definitely has a creepy/spooky vibe. It's one of my very favorite books for young readers.

Coming into this a bit late, but I can't believe that no-one has mentioned "The Halloween Tree" by Bradbury. It does a fantastic job of telling a scary story, but highlighting various Halloween traditions across the world and in time. It's a super-fast read, but I love love love it.

And I will also second ALL of Gorey's works. While the small books are wonderful to have, nearly all of his works have been compiled in "Amphigorey" and the sequels "Amphigorey Too", "Amphigorey Also" and "Amphigorey Again". I believe that "Gashlycrumb Tinies" is included in the first compilation.

I will also say that I first came across E. Gorey as the illustrator for Bellairs' books, mentioned by Sacrelicious. They are lots of fun, full of riddles and mysteries and cranky old folks!