Seconding The Beauty of Horror (a second book just came out this month, so there are two of them now).
The Edgar Allan Poe book is also fairly creepy.
Here are some I don't own, but have on my wishlist.
Hallowe'en Colouring Book
Molly Harrison's Hallowe'en Colouring Book
Colour Your Fright: Artist's Edition
Llewellyn's Witch's Colouring Book
Colouring Book of Shadows: Book of Spells