I found this a few days ago:
Halloween Music
Other songs not mentioned there:
"Bela Lugosi's Dead," Bauhaus (pretty much the one song you absolutely must play)
"Heresy," Christian Death
"Halloween," the Shaggs
"I Drink Blood," Rocket from the Crypt
"Everyday is Halloween," Ministry
"Pet Sematary," the Ramones
"Halloween," Sonic Youth
"The Monster Mash," Bobby "Boris" Pickett and the Crypt-Kickers
"Werewolves of London," Warren Zevon (kind of a stretch, granted)
Last and possibly least: "Thriller," Michael Jackson