For stories about youkai, nothing tops
Bakeneko and its sequel,
Mononoke, in my book.
Hakaba Kitaro presents a more comic story, but it's still pretty dark and closer to the original source material than some of the
other Kitaro adaptations.
Ghost Hound has youkai, but not in a traditional setting like these shows or
Natsume Yuujinchou. The stories in
Yakushiji Ryoko no Kaiki Jikenbo weren't all that strong, but the witty scripts and excellent voice acting helped compensate for a "monster-of-the-week" style of plotting.
For a very different type of creepy show, I'll suggest
Mouryou no Hako. It opens on a train where one of the passengers is holding a box with the live head of a young woman inside. Aero's and Aoi's trackers for this show are no longer online, but a Google search will provide other alternatives.