Oh man, one of the best novellas ever. I really love Henry James, this and The Aspern Papers were simply marvelous. I most definitely have to read the rest of his works. 
 The Turn of the Screw is great because you never really know if the governess is crazy, or if the estate is really haunted. Because nobody else sees the ghosts except for her. If she is crazy, it makes the ending very odd indeed. :) 
 The Aspern Papers is equally as great because you start to fall into the world of the narrator's psychosis. He becomes so paranoid and feels so trapped. It's great :) 
 I strongly recommend reading both of them.