The Turn of the Screw by Henry James
While I grant you that The Turn of the Screw is not really a Christmas story, it does have the tradition of telling ghost stories on Christmas Eve as its framework, so I'm counting it as part of my seasonal reading.
The Turn of the Screw is fascinating and creepy and leaves you not knowing what the heck was going on. Our narrator is reading the story to folks around the fire, so it's not his story. A governess is hired for two children who are under the care of their uncle. The uncle lives in town while the kids live at the country house, where the governess will be in charge. The uncle basically wants to have to deal with them as little as possible. The governess has written her story down, so everything we know and see is from her point of view. Even she admits that she has a vivid imagination and is “rather easily carried away.”
So we've got...