This sounds neat. With all the Ghost-type Pokedex entries there are plenty of horror stories to make from those. My guess it'll be an anthology series so they can cover as many Pokemon as they can:
Banette: The featured one, Banette are said to be discarded dolls that came to life and now search for the child who broke and threw it out to act vengeance upon them.
Ghastly, Haunter, & Gengar: Mentioned on Japanese website (well, at least Ghastly and Gengar), all of them have horrifying dex entries. Ghastly suffocates people with its poison gas, Haunter's lick steals your life force and causes you to shake yourself to death, and Gengar does a whole batch of things. Causes the temperature to go down 10 degrees, pretends to be your shadow to freak you out, lays curses on people, and finally steal people's life force if they happen to get lost.
Cofagrigus: Mentioned on Japanese website. It traps people, mainly grave robbers, inside them and turns them into mummies.
Litwik, Lampent, & Chandelure: Chandelure is mentioned on Japanese website, but I included them all since they do the same thing: uses your life force and spirit as fuel for their flames, leaving behind your empty husk of a body.
Other "fun" ones:
Dusclops: Has a black hole in its stomach and hypnotizes people to doing its bidding.
Drifloon: Tries to drag kids to the underworld (they're too light though, they end up being dragged along by the kid). Still, if a group works together or they get a Drifblim to help...
Spiritomb: Its formed by 108 evil spirits, surely once freed they all must have some evil plans...
Phantump & Trevenant: Phantump are tree stumps possessed by ghosts of kids who got lost and died in the forest. Trevenant punishes those who disrespects the forest by making them get lost in it forever. So what if the person who disrespected the forest was a kid...
Gourgiest: The happily go down through towns and streets singing a song that curses anyone who hears them. It also traps people and happily sings while the victim suffers.
Shedinja: Looking in the empty back of a Shedinja steals your soul.
Froslass: Freezes its prey and then puts them on display.
Frillish & Jellicent: Frillish paralyze its prey with poison and drags them 5 miles underwater. Jellicent are said to sink ships and creates a castle out of them, no knows what happens to the ship's crew.
Honedge & Aegislash: Honedge steals your life force if you try to use it (and clings onto you once you grabbed the hilt) while Aegislash takes control of people. BTW, Aegislash often accompanied kings (and possibly other people in charge).
Of course this is just the Ghost-types, I'm sure Dark-types and other select few also have their fair share of messed up dex entries.