Ghost Stories

Not too long ago I recieved a book of Ghost Stories as a gift. The book introduced me to M. R. James, who is known as one of the originators of the modern ghost story, and I must say, he is quite talented. I stumbled across this gem, containing a few of James' short stories in their entirety, including my favourite: Count Magnus. An excerpt:
'So he sat there, and two or three men with him, and they listened. At first they hear nothing at all; then they hear someone--you know how far away it is--they hear someone scream, just as if the most inside part of his soul was twisted out of him. All of them in the room caught hold of each other, and they sat so for three-quarters of an hour. Then they hear someone else, only about three hundred ells off. They hear him laugh out loud: it was not one of those two men that laughed, and, indeed, they have all of them said that it was not any man at all. After that they hear a great door shut.
It is not so much the scream that evokes fear, but rather the laugh at the end. Why is that? I'm not really sure... As for the other stories, I have only read Casting the Runes, which I enjoyed as well.