I've spoken before about the Escape episode entitled "Papa Benjamin." It's from a story by Cornell Woolrich and it's been adapted in a few places, such as in the film Dr. Terror's House of Horrors and an episode of Boris Karloff's Thriller. Still, this is one I keep returning to because my initial encounter was so memorably frightening. Part of my initial fascination with old-time radio shows were the scary programs - Suspense, the Whistler, the Shadow - and then, as now, I would listen to QR77's old-time radio rebroadcasts every night.
One evening I awoke to hear the radio on; I had fallen asleep early into the evening's shows. Half-awake, I heard a drama unfold about policemen venturing into a filthy New Orleans back alley where they found a dead man. Investigating the murder, they learn this is all tied up in voodoo. In my drowsy state the eeriness of the situation seemed all the more intense; I could have easily gone back to sleep but no, I remained awake - I had to know how it all turned out!
Don't take my word for it - listen to "Papa Benjamin" here (archive.org link).