While nothing to do with James himself, I thought this book was suitably Jamesian in subject matter for inclusion here. A chronicle of alleged hauntings and ghost sightings in churches the length and breadth of England. Found in a second hand bookshop on the Norfolk coast for extra MRJ points!
Haunted Churches of England: Ghosts Ancient and Modern 
Front cover 
Title page 
Contents
Antiquarian Ghosts 