As a six-year-old I was so terrified by one of Alison Uttley's Little Grey Rabbit stories that I tore the spine off the book to prevent it from giving me the evil eye in the night. It involved vain Squirrel and conceited Hare being bundled up in a sack by evil Weasel and carried off to his house for dinner. To this day, Weasel's song ("Hare for lunch, and squirrel for tea, with acorn sauce is a feast for me") seems more evil to me any witch's hex.

Other writers in this series – not least Sarah Crown – have mused about the subjectivity of fear, and I've often wondered why I was so scared by this apparently ordinary story of woodland folk. I now think it's because of the way that Uttley lures the reader into identifying with the id of Little Grey Rabbit: outwardly she's the perfect friend, selflessly tending to her lazy housemates, but inwardly she seethes with the injustice of it all. Secretly, she wishes for them to be taught a lesson, and so do we. The terror comes from seeing that wish shape itself into a homicidal Weasel. It's the same trick that would later make the line "Macbeth has murdered sleep" the most horrifying for me of all Shakespeare's conjurations.

This connection occured to me as I scoured Ann and Jeff Vandermeer's magisterial Weird anthology for a tale that was genuinely frightening. I admire a good ghost story, but I'm not spooked by supernatural beings; even yarns from masters such as MR James and HP Lovecraft left me unmoved. The tale that finally raised my hackles crept up as unexpectedly as any ghoulie or ghostie.

The Screaming Skull is a monologue, written in 1908 by the Italian-American writer and historian Francis Marion Crawford. On the surface it's a hammy story of a worldly old sea captain who has inherited the house of a doctor friend, whose wife predeceased him in mysterious circumstances. In a cupboard of the master bedroom, Captain Braddock discovers a bandbox containing the top half of a skull. "One always remembers one's mistakes much more vividly that one's cleverest things, doesn't one?" he muses, confiding that his big mistake was to entertain the doctor with murder stories, one of which involved a wife who did away with three husbands by pouring molten lead into their ears.

Like many ghost story protagonists, Braddock is a practical man with no patience for superstition, coupled with an old sea dog's imperviousness to howling winds. But he is at a loss to explain the unholy screaming that starts up every time he tries to evict the skull. Nor can he ignore the discovery of a bottom jaw in a nearby lime pit which is a perfect fit with the top jaw in his bedroom cupboard. After settling for an uneasy cohabitation, which condemns him to sleeping on the ground floor, he becomes increasingly obsessed with the rattle of a small hard object inside the skull. Could it, he wonders, be a nugget of lead?

He recounts his story over one long evening to an unnamed visitor, in a monologue that moves from a narrative of past events to a dramatisation of what is happening in the house as he speaks. At the climax of his story, he brings the skull out to show it to his guest, only to discover that it has disappeared from its box. No sooner has this discovery been made than a window crashes open and in it screeches, biting his friend's hand on its way. Stoically he seals it up again and puts it back in the bedroom where he has decided to spend one last night to free the downstairs room for his friend.

The story ends with a local newspaper report of his murder, "bitten in the throat by a human assailant with such amazing force as to crush the windpipe." At first this ending seems a failure of narrative – the inability of a monologuist to report his own death. But the more you think about it, the clearer it becomes that Captain Braddock is not the innocent he purports to be. Who is this friend on whom he presses glass after glass of rum while protesting that he can't take it himself on account of his rheumatism? Why did he so relish telling Dr Pratt how to commit murder? How did he know the rattle in the skull was lead? And why is the skull so intent on revenging itself upon him?

The newspaper offers no clues, merely reporting: "The whole affair is shrouded in mystery. Captain Braddock was a widower, and lived alone. He leaves no children". The question of the captain's complicity in his own murder rattles on like the lead in the skull.