Henry James 
The Turn of the Screw 

The story opens with a framing device—we find ourselves at a holiday party, where ghost stories are being told. One of the members of the party, Douglas, promises rather woefully to provide a chilling, real-life tale once a manuscript containing it arrives.

The houseguests are all intrigued and excited—as are we, the readers. (The narrator is a little snide, though.).